The economics of risk and time / Christian Gollier.
2001
HG101 .G65 2001eb
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Details
Title
The economics of risk and time / Christian Gollier.
Author
Gollier, Christian.
ISBN
0585386994 (electronic bk.)
9780585386997 (electronic bk.)
9780262274043
0262274043
0262072157
9780262072151
0262572249
9780262572248
9780585386997 (electronic bk.)
9780262274043
0262274043
0262072157
9780262072151
0262572249
9780262572248
Publication Details
Cambridge, Mass. : MIT Press, 2001.
Language
English
Description
1 online resource (xx, 445 pages) : illustrations
Call Number
HG101 .G65 2001eb
Dewey Decimal Classification
658.15/5
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 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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Source of Description
OCLC-licensed vendor bibliographic record.
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