Weak Proper Risk Aversion And The Tempering Effect of Background Risk
Weak Proper Risk Aversion And The Tempering Effect of Background Risk
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适当避险情绪较弱及背景风险的缓和作用
DOI：
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发表时间：
1993
期刊：
影响因子：
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通讯作者：
J. Pratt
中科院分区：
文献类型：
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作者：
C. Gollier;J. Pratt
在本文中，我们研究了效用函数的一个新的自然限制，即一个不受欢迎的风险永远不会因为一个独立的、不公平的风险的存在而变得可取。这个概念被称为弱固有性。它推广了Pratt和Zeckhauser[1987]引入的适当性概念（单独不受欢迎，独立风险总是共同不受欢迎）。弱适当性和适当性的一个重要性质是，在财富中增加不公平风险会使厌恶风险的人更加厌恶风险，从而增加交换经济中风险的均衡价格（la Lucas[1978]）。弱性质意味着效用函数的两个一阶导数是原效用函数的凹变换。弱适当性的充分条件是绝对风险厌恶是递减的且是凸的。
We examine in this paper a new natural restriction on utility functions, namely that an undesirable risk can never be made desirable by the presence of an independent, unfair risk. This concept is called weak properness. It generalizes the concept of properness (individually undesirable, independent risks are always jointly undesirable) introduced by Pratt and Zeckhauser [1987]. An important property of weak properness and properness is that adding an unfair risk to wealth makes risk-averse people more risk averse, therefore increasing the equilibrium price of risk in exchange economies a la Lucas [1978]. Weak properness implies that the two first derivatives of the utility function are concave transformations of the original utility function. A sufficient condition for weak-properness is that absolute risk aversion be decreasing and convex.