Journal of Economics

, Volume 57, Issue 1, pp 69–93

Expected utility and the siegel paradox: A generalization

  • Ronny Aboudi
  • Dominique Thon

DOI: 10.1007/BF01237437

Cite this article as:
Aboudi, R. & Thon, D. Zeitschr. f. Nationalökonomie (1993) 57: 69. doi:10.1007/BF01237437


It was recently shown by Sinn that, under certain conditions, because of the Siegel paradox, even risk-averse agents can find speculation on forward currency markets attractive. His assumptions are that the spot and forward rates are identically distributed and statistically independent and that the agents' coefficients of relative risk aversion are constant and inferior to unity. We show that both assumptions of statistical independence and constant relative risk aversion can be dramatically relaxed.

Copyright information

© Springer-Verlag 1993

Authors and Affiliations

  • Ronny Aboudi
    • 1
  • Dominique Thon
    • 2
  1. 1.Department of Management ScienceUniversity of MiamiCoral GablesUSA
  2. 2.Bodø Graduate School of BusinessMørkvedNorway

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