Risk: Evaluation, Management and Sharing

Louis Eeckhoudt · Christian Gollier · Val E. Lambson · Denis Kessler

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Decision-Making and Behavioral Economics Economic theories and models Risk and Portfolio Optimization

Abstract

PART ONE. Framework of Analysis and Basic Notation. Criteria for Evaluating Lotteries. The Expected Utility Criterion and its Implications. Other Measures of Risk Aversion. The Notion of a Mean-Preserving Change in Risk. A Smorgasbord of Subjects. Uncertainty and Contingent Claims. PART TWO. A General Description of the Problems. Portfolio Choices Under Uncertainty. The Demand for Insurance. The Production Decision Under Uncertainty. PART THREE. General Description of the Problems Treated. Efficient Risk-sharing. The Complete Markets Model. The Capital Asset Pricing Model. Uncertainty and Asymmetric Information.

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2005Inf-convolution of risk measures and optimal risk transfer 2000Optimal risk-sharing rules and equilibria with Choquet-expected-utility 1996Efficiency, Risk Aversion and Portfolio Insurance: An Analysis of Financial Asset Portfolios Held by Investors in the United Kingdom 2004Optimal derivatives design under dynamic risk measures 1995Non-Expected Utility and The Robustness of the Classical Insurance Paradigm 2005Risky Choices and Correlated Background Risk 2002Risk-averse firms in oligopoly 2002Diversification, convex preferences and non-empty core in the Choquet expected utility model

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