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Background Risk in Generalized Expected Utility Theory

Quiggin, John


In this paper, it is shown that, for a wide range of risk-averse generalized expected utility preferences, independent risks are com-plementary, contrary to the results for expected utility preferences satisfying conditions such as proper and standard risk aversion.

CollectionsANU Research Publications
Type: Working/Technical Paper
Source: Economic Theory
DOI: 10.1007/s00199-002-0311-x


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