Time, Utility, Risk: Size-of-Risk Attitude and Distinct Decision Makers

Abstract:     
In the context of time varying utility of wealth, this paper generalizes the proposed analysis of temporal risk aversion in the case of a Decision Maker who acts as a Buyer in order to study a different notion of risk aversion: the concept of size-of-risk aversion. Sufficient conditions ensuring existence and regularity of the definitions proposed in (Ferretti, 2008) are presented; temporal and instantaneous size-of-risk aversion definitions are given and a sufficient condition ensuring such a behavior is obtained.

Number of Pages in PDF File: 11

Keywords: temporal utility, Buyer-Seller viewpoints, size-of-risk attitude

JEL Classification: D81

working papers series