The Economics of Risk and Time

Přední strana obálky
MIT Press, 2001 - Počet stran: 445

This book updates and advances the theory of expected utility as applied to risk analysis and financial decision making. Von Neumann and Morgenstern pioneered the use of expected utility theory in the 1940s, but most utility functions used in financial management are still relatively simplistic and assume a mean-variance world. Taking into account recent advances in the economics of risk and uncertainty, this book focuses on richer applications of expected utility in finance, macroeconomics, and environmental economics.

The book covers these topics: expected utility theory and related concepts; the standard portfolio problem of choice under uncertainty involving two different assets; P the basic hyperplane separation theorem and log-supermodular functions as technical tools for solving various decision-making problems under uncertainty; s choice involving multiple risks; the Arrow-Debreu portfolio problem; consumption and saving; the equilibrium price of risk and time in an Arrow-Debreu economy; and dynamic models of decision making when a flow of information on future risks is expected over time. The book is appropriate for both students and professionals. Concepts are presented intuitively as well as formally, and the theory is balanced by empirical considerations. Each chapter concludes with a problem set.

 

Obsah

General Theory
1
Risk Aversion
17
Change in Risk
39
The Standard Portfolio Problem
53
The Equilibrium Price of Risk
65
A Hyperplane Separation Theorem
81
1
99
4
107
Consumption under Certainty
217
Precautionary Saving and Prudence
235
The Equilibrium Price of Time
249
The Liquidity Constraint
269
The SavingPortfolio Problem
285
Disentangling Risk and Time
297
Efficient Risk Sharing
307
The Equilibrium Price of Risk and Time
327

8
113
5
124
4
132
Taking Multiple Risks
141
The Dynamic Investment Problem
155
Special Topics in Dynamic Finance
175
The Demand for Contingent Claims
195
Risk on Wealth
205
Searching for the Representative Agent
343
The Value of Information
357
Decision Making and Information
383
Information and Equilibrium
407
Epilogue
423
Bibliography
429
Index of Lemmas and Propositions
441
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O autorovi (2001)

Christian Gollier is Professor of Economics at the University of Toulouse, FFSA Chair of Insurance at the Institut d'Economie Industrielle, and coordinator of the European area network in Applied Microeconomics at CESifo.

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