Von Neumann and Morgenstern pioneered the use of expected utility theory in the s, but most utility functions used in financial management are still relatively simplistic and assume a mean-variance world. Taking into account recent advances in the economics of risk and uncertainty, this book focuses on richer applications of expected utility in finance, macroeconomics, and environmental economics. The book covers these topics: expected utility theory and related concepts; the standard portfolio problem of choice under uncertainty involving two different assets; P the basic hyperplane separation theorem and log-supermodular functions as technical tools for solving various decision-making problems under uncertainty; s choice involving multiple risks; the Arrow-Debreu portfolio problem; consumption and saving; the equilibrium price of risk and time in an Arrow-Debreu economy; and dynamic models of decision making when a flow of information on future risks is expected over time. The book is appropriate for both students and professionals.

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Small Arrow Christian Gollier, one of the foremost contemporary researchers on the economics of uncertainty, has written an instant classic. This is a feat no one has accomplished before. This book is therefore a must read for a broad audience: graduate students in economics and finance, superior undergraduates, and researchers will all find it a source of knowledge and inspiration.

Von Neumann and Morgenstern pioneered the use of expected utility theory in the s, but most utility functions used in financial management are still relatively simplistic and assume a mean-variance world.

Taking into account recent advances in the economics of risk and uncertainty, this book focuses on richer applications of expected utility in finance, macroeconomics, and environmental economics. The book covers these topics: expected utility theory and related concepts; the standard portfolio problem of choice under uncertainty involving two different assets; P the basic hyperplane separation theorem and log-supermodular functions as technical tools for solving various decision-making problems under uncertainty; s choice involving multiple risks; the Arrow-Debreu portfolio problem; consumption and saving; the equilibrium price of risk and time in an Arrow-Debreu economy; and dynamic models of decision making when a flow of information on future risks is expected over time.

The book is appropriate for both students and professionals. Concepts are presented intuitively as well as formally, and the theory is balanced by empirical considerations.

Each chapter concludes with a problem set. August

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## The Economics of Risk and Time

Small Arrow Christian Gollier, one of the foremost contemporary researchers on the economics of uncertainty, has written an instant classic. This is a feat no one has accomplished before. This book is therefore a must read for a broad audience: graduate students in economics and finance, superior undergraduates, and researchers will all find it a source of knowledge and inspiration. Von Neumann and Morgenstern pioneered the use of expected utility theory in the s, but most utility functions used in financial management are still relatively simplistic and assume a mean-variance world. Taking into account recent advances in the economics of risk and uncertainty, this book focuses on richer applications of expected utility in finance, macroeconomics, and environmental economics. The book covers these topics: expected utility theory and related concepts; the standard portfolio problem of choice under uncertainty involving two different assets; P the basic hyperplane separation theorem and log-supermodular functions as technical tools for solving various decision-making problems under uncertainty; s choice involving multiple risks; the Arrow-Debreu portfolio problem; consumption and saving; the equilibrium price of risk and time in an Arrow-Debreu economy; and dynamic models of decision making when a flow of information on future risks is expected over time. The book is appropriate for both students and professionals.

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