Econometrica: Nov 1979, Volume 47, Issue 6
On Multivariate Risk Aversion
Edi KarniThis paper develops a matrix-measure of multivariate risk aversion which is related to a notion of risk premium and states the restrictions that must be imposed upon the matrix-measures of two utility functions in order that one require a higher risk premium than another for every small multivariate risk. A necessary and sufficient condition for comparability of global attitude towards risk is that the local restrictions hold over the entire domain. The usefulness of the measures of risk aversion is discussed within the context of a multivariate risk-sharing problem.
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