Background Risk in Generalized Expected Utility Theory

Quiggin, John

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Background Risk in Generalized Expected Utility Theory

Date

2001

Authors

Quiggin, John

Publisher

Springer

Abstract

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.