The Economics of Risk and Time

Christian Gollier

445 pages, parution le 01/10/2004

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Résumé

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.

L'auteur - Christian Gollier

Christian Gollier is Professor of Economics at the University of Toulouse and a Research Fellow for CESifo, a joint venture of the University of Munich's Center for Economic Studies (CES) and Germany's Ifo Institute. His previous book, The Economics of Risk and Time, won the prestigious Paul A. Samuelson Award.

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Sommaire

General Theory
- The Expected Utility Model
- Risk Aversion
- Change in Risk
The Standard Portfolio Problem
- The Standard Portfolio Problem
- The Equilibrium Price of Risk
Some Technical Tools and Their Applications
- Hyperplane Separation Theorem
- Log-Supermodularity
Multiple Risks
- Risk Aversion with Background Risk
- The Tempering Effect of Background Risk
- Taking Multiple Risks
- The Dynamic Investment Problem
- Special Topics in Dynamic Finance
The Arrow-Debreu Portfolio Problem
- The Demand for Contingent Claims
- Risk on Wealth
Consumption and Saving
- Consumption under Certainty
- Precautionary Saving and Prudence
- The Equilibrium Price of Time
- The Liquidity Constraint
- The Saving-Portfolio Problem
- Disentangling Risk and Time
Equilibrium Prices of Risk and Time
- 305 21Efficient Risk Sharing
- The Equilibrium Price of Risk and Time
- Searching for the Representative Agent
Risk and Information
- The Value of Information
- Decision Making and Information
- Information and Equilibrium
- Epilogue

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Caractéristiques techniques

	PAPIER
Éditeur(s)	The MIT Press
Auteur(s)	Christian Gollier
Parution	01/10/2004
Nb. de pages	445
Format	14 x 22
Couverture	Broché
Poids	577g
Intérieur	Noir et Blanc
EAN13	9780262572248
ISBN13	978-0-262-57224-8