The Economics of Risk and Time - Hardcover
Winner, 2003 Kulp-Wright Book Award from the American Risk and Insurance Association (ARIA) and Awarded the 2001 Paul A. Samuelson Award presented by the TIAA-CREF Institute for Outstanding Scholarly Writing on Lifelong Financial Security
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.
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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About the Author:
Christian Gollier is Professor of Economics at the University of Toulouse, FFSA Chair of Insurance at the Institut d'Economie Industrielle, and coordinator of the European area network in Applied Microeconomics at CESifo.
Review:
"Presents a unified and up-to-date analysis of the expected utility model."
— Journal of Economic Literature
"Gollier's treatise on risk and time will be the bible for future finance theory and practice. Get your copy; read and reread. Keep ahead of the competitive mob."
—Paul A. Samuelson, Massachusetts Institute of Technology
— Journal of Economic Literature
"Gollier's treatise on risk and time will be the bible for future finance theory and practice. Get your copy; read and reread. Keep ahead of the competitive mob."
—Paul A. Samuelson, Massachusetts Institute of Technology
"About this title" may belong to another edition of this title.
- PublisherMit Pr
- Publication date2001
- ISBN 10 0262072157
- ISBN 13 9780262072151
- BindingHardcover
- Edition number1
- Number of pages465
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