Abstract
This paper develops context-free interpretations for the relative and partial Nth degree risk attitude measures and show that various conditions on theses measures are utility characterizations of the effects of scaling general stochastic changes in different settings. It is then shown that these characterizations can be applied to generalize comparative statics results in a number of important problems, including precautionary savings, optimal portfolio choice, and competitive firms under price uncertainty.
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We are grateful to an anonymous referee for very helpful comments on earlier drafts of this paper.
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Chiu, W.H., Eeckhoudt, L. & Rey, B. On relative and partial risk attitudes: theory and implications. Econ Theory 50, 151–167 (2012). https://doi.org/10.1007/s00199-010-0557-7
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DOI: https://doi.org/10.1007/s00199-010-0557-7