The Economics of Risk and Time (Mit Press) - Softcover

Gollier, Christian

Softcover

ISBN 10: 0262572249 ISBN 13: 9780262572248

Publisher: The MIT Press, 2004

Synopsis

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.

About this title

About the Author:

Christian Gollier is Professor of Economics at the University of Toulouse.

Review:

Presents a unified and up-to-date analysis of the expected utility model.

―Journal of Economic Literature

About this edition

• Publisher: The MIT Press
• Publication date: 2004
• ISBN 10: 0262572249
• ISBN 13: 9780262572248
• Binding: Paperback
• Number of pages: 466