Econometrica: May 1980, Volume 48, Issue 4
Multivariate Risk Independence and Functional Forms for Preferences and Technologies
Larry G. EpsteinThe comparative static effects of increased uncertainty in standard two-period models of consumer and producer behavior under uncertainty have been shown in [10 and 11] to be complex. Two principal objectives of this paper are: (i) to describe some assumptions, forms of risk independence, about preferences and technologies, that simplify the behavioral effects of increased variability; and(ii) to characterize the preferences and technologies that are consistent with risk independence. The theory of duality plays an important part in the analysis.
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