Economic Theory

, Volume 30, Issue 2, pp 337–362

A contribution to duality theory, applied to the measurement of risk aversion

Authors

  • Juan E. Martínez-Legaz
    • Department d’Economia i d’Història EconòmicaUniversitat Autònoma de Barcelona
    • Department of EconomicsOxford University
Research Article

DOI: 10.1007/s00199-005-0053-7

Cite this article as:
Martínez-Legaz, J.E. & Quah, J.K.-. Economic Theory (2007) 30: 337. doi:10.1007/s00199-005-0053-7

Abstract

This paper determines the precise connection between the curvature properties of an objective function and the ray-curvature properties of its dual. When the objective function is interpreted as a Bernoulli or cardinal utility function, our results characterize the relationship between an agent’s attitude towards income risks and her attitude towards risks in the underlying consumption space. We obtain these results by developing and applying a number of representation theorems for concave functions.

Keywords

Risk aversionConcavityDualityHomotheticityCost curves

JEL Classification Numbers

C61D11D81

Copyright information

© Springer-Verlag 2005