On Risk Aversion, Classical Demand Theory, and KM Preferences
2012/04/17
研討會日期 : 2012-04-17
時間 : 14:30
主講人 : Professor Leonard J. Mirman
地點 : Conference Room B110
演講者簡介 : Leonard J. Mirman received his Ph.D. in Economics from Rochester University in 1970. He is currently serving as Paul Goodloe McIntire Professor of Economics at University of Virginia and fellow of the Econometric Society. His research field is in mathematical economics.
演講摘要 : Building on Kihlstrom and Mirman (1974)’s formulation of risk aversion in the case of multidimensional utility functions, we study the effect of risk aversion on optimal behavior in a general consumer’s maximization problem under uncertainty. We completely characterize the relationship between changes in risk aversion and classical demand theory. We show that the effect of risk aversion on optimal behavior is determined not by the riskiness of the risky good, but rather the riskiness of the utility gamble associated with each decision. We also discuss the appropriateness of an (alternative) approach to study risk aversion suggested by Selden (1978), which has been widely popularized in the field of macroeconomics through the parametric model of Epstein and Zin (1989) (henceforth, the Selden-EZ approach). We show that the Selden-EZ approach cannot disentangle risk aversion from tastes, and, thus, cannot be used to isolate the effect of risk aversion.
