The economics of risk and time (eBook, 2001) [WorldCat.org]
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The economics of risk and time

Author: Christian Gollier
Publisher: Cambridge, Mass. : MIT Press, 2001.
Edition/Format:   eBook : Document : EnglishView all editions and formats
Summary:
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  Read more...
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Details

Genre/Form: Electronic books
Leermiddelen (vorm)
Additional Physical Format: Print version:
Gollier, Christian.
Economics of risk and time.
Cambridge, Mass. : MIT Press, 2001
(DLC) 2001030213
(OCoLC)45958028
Material Type: Document, Internet resource
Document Type: Internet Resource, Computer File
All Authors / Contributors: Christian Gollier
ISBN: 0585386994 9780585386997 9780262274043 0262274043
OCLC Number: 49569490
Language Note: English.
Awards: Winner of Winner, 2003 Kulp-Wright Book Award from the American Risk and Insurance Association (ARIA) 2003
Description: 1 online resource (xx, 445 pages) : illustrations
Contents: The expected utility model --
Risk aversion --
Change in risk --
The standard portfolio problem --
The equilibrium price risk --
A hyperplane separation theorem --
Log-supermodularity --
Risk aversion with background risk --
The tempering effect of background risk --
Taking multiple risks --
The dynamic investment problem --
Special topics in dynamic finance --
The demand for contingent claims --
Risk on wealth --
Consumption under certainty --
Precautionary saving and prudence --
The equilibrium price of time --
The liquidity constraint --
The saving-portfolio problem --
Disentangling risk and time --
Efficient risk sharing --
The equilibrium price of risk and time --
Searching for the representative agent --
The value of information --
Decision making and information --
Information and equilibrium.
Responsibility: Christian Gollier.

Abstract:

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.

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