Supermodularity and risk aversion

J. Quiggin, Robert Chambers

    Research output: Contribution to journalArticle

    1 Citation (Scopus)

    Abstract

    In this paper, we consider the relationship between supermodularity and risk aversion. We show that supermodularity of the certainty equivalent implies that the certainty equivalent of any random variable is less than its mean. We also derive conditions under which supermodularity of the certainty equivalent is equivalent to aversion to mean-preserving spreads in the sense of Rothschild and Stiglitz. (c) 2006 Elsevier B.V. All rights reserved.
    Original languageEnglish
    Pages (from-to)1-14
    JournalMathematical Social Sciences
    Volume52
    DOIs
    Publication statusPublished - 2006

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