The economics of risk and time /

The economics of risk and time /

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Bibliographic Details
Author / Creator:Gollier, Christian.
Imprint:Cambridge, Mass. : MIT Press, 2001.
Description:1 online resource (xx, 445 pages) : illustrations
Language:English
Subject:
Finance.
Financial engineering.
Risk.
Risk assessment.
Risk management.
Finance.
Financial engineering.
Risk.
Risk assessment.
Risk management.
Electronic books.
Format: E-Resource Book
URL for this record:http://pi.lib.uchicago.edu/1001/cat/bib/11114809
Hidden Bibliographic Details
ISBN:0585386994
9780585386997
9780262274043
0262274043
0262072157
9780262072151
0262572249
9780262572248
Notes:Includes bibliographical references (pages 429-440) and index.
English.
Print version record.
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.
Other form:Print version: Gollier, Christian. Economics of risk and time. Cambridge, Mass. : MIT Press, 2001 0262072157
Table of Contents:
  • Preface
  • Acknowledgments
  • I. General Theory
  • 1. The Expected Utility Model
  • 2. Risk Aversion
  • 3. Change in Risk
  • II. The Standard Portfolio Problem
  • 4. The Standard Portfolio Problem
  • 5. The Equilibrium Price of Risk
  • III. Some Technical Tools and Their Applications
  • 6. A Hyperplane Separation Theorem
  • 7. Log-Supermodularity
  • IV. Multiple Risks
  • 8. Risk Aversion with Background Risk
  • 9. The Tempering Effect of Background Risk
  • 10. Taking Multiple Risks
  • 11. The Dynamic Investment Problem
  • 12. Special Topics in Dynamic Finance
  • V. The Arrow-Debreu Portfolio Problem
  • 13. The Demand for Contingent Claims
  • 14. Risk on Wealth
  • VI. Consumption and Saving
  • 15. Consumption under Certainty
  • 16. Precautionary Saving and Prudence
  • 17. The Equilibrium Price of Time
  • 18. The Liquidity Constraint
  • 19. The Saving-Portfolio Problem
  • 20. Disentangling Risk and Time
  • VII. Equilibrium Prices of Risk and Time
  • 21. Efficient Risk Sharing
  • 22. The Equilibrium Price of Risk and Time
  • 23. Searching for the Representative Agent
  • VIII. Risk and Information
  • 24. The Value of Information
  • 25. Decision Making and Information
  • 26. Information and Equilibrium
  • 27. Epilogue
  • Bibliography
  • Index of Lemmas and Propositions
  • Index of Subjects

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