comparative risk aversion under background risk revisited相对风险厌恶情绪背景下重新审视风险.pdfVIP

Hindawi Publishing Corporation Economics Research International Volume 2010, Article ID 180478, 5 pages doi:10.1155/2010/180478 Research Article Comparative Risk Aversion under Background Risk Revisited Masamitsu Ohnishi1 and Yusuke Osaki2 1 Graduate School of Economics, Osaka University, Machikaneyama 1-7, Toyonaka, Osaka 560-0043, Japan 2 Faculty of Economics, Osaka Sangyo University, Nakagaito 3-1-1, Daito, Osaka 574-8530, Japan Correspondence should be addressed to Yusuke Osaki, osaki@eco.osaka-sandai.ac.jp Received 28 April 2010; Revised 9 October 2010; Accepted 10 December 2010 Academic Editor: Philip J. Grossman Copyright © 2010 M. Ohnishi and Y. Osaki. This is an open access article distributed under the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited. This paper determines a new sufficient condition of the (von Neumann-Morgenstern) utility function that preserves comparative risk aversion under background risk. It is the single crossing condition of risk aversion. Because this condition requires monotonicity in the local sense, it may satisfy the U-shaped risk aversion observed in the recent empirical literature. 1. Introduction Important contributions to this question are from Kihlstrom et al. [4], Nachman [5], and Pratt [6]. The Pratt [1] and Arrow [2] introduced the notion of risk first two studies obtained a sufficient condition for the aversion and its associated order in the expected utility preservation of comparative risk aversion in the pre