Risk aversion and risk loving in the small: a decomposition of the multivariate risk premium

Authors :: Ercolani, Marco G.
Source :: Bulletin of Economic Research. Jan, 2004, Vol. 56 Issue 1, p81, 26 p.
Publication Year :: 2004
Abstract: United Kingdom data from 1963 to 1997 are used to illustrate a scalar multivariate risk premium decomposition that yields components that are easily interpreted when used in a consumer theory context. A more intuitive interpretation of the beneficial and detrimental impacts of price and income risk is shown.

Subjects :: Risk (Economics) -- Models
Consumption (Economics) -- Research
Multivariate analysis -- Methods
Business
Business, general
Business, international
Economics

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