Risk-aversely efficient random variables: Characterization and an application to growth under uncertainty |
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Authors: | Itzhak Zilcha |
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Institution: | Department of Economics, Tel Aviv University, Tel Aviv, Israel |
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Abstract: | Consider a problem of choice from a set R of multivariate random variables. Let us examine only efficient elements of R which are optimal choices of risk averse decision-makers (whose aim is to maximize expected utility over R). We obtain a price characteristic of all risk-aversely efficient random variables in R. This result has been applied to multi-sector optimal growth model to obtain a characterization by competitive prices of all risk-aversely efficient stationary consumption programs. |
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