Our joint paper Local Utility and Multivariate Risk Aversion, written with Alfred Galichon and Marc Henry will appear soon in Mathematics of Operations Research.
I will present it, next Thursday in our Risk Workshop, in Rennes, organized by Olivier L’Haridon.
Tomorrow morning, I will give a crash course on risk measures at Louvain-la-Neuve, in Belgium. This is a crash course of PhD students (and researchers) with a long introduction on the univariate static framework (and some mathematical tools that will be interesting later on, such as the Fenchel transform and more generally on convexity, as well as some results on optimal transport). I will also mention what was obtained in decision theory, inspired by Itzhak Gilboa‘s Theory of Decision under Uncertainty. Then I will mention extensions to derive multiple risk measures, based on Marc Henry and Alfred Galichon‘s work. Finally, I will conclude by introducing the difficulty to derive dynamic risk measures.
The slides are based on a document I am still working on. And unfortunately, the deeper I get to explain the roots of the axioms, or the assumptions, the more papers I discover (and I need to read, and understand). So I guess I will need some time to finalize my survey. Note that I decided to skip details on technical issues when working on , and the weak topology on the dual of . I will try to add additional references in the notes, but I wanted the slides to be as simple as possible. I also want to add more connections with statistical results, such as Neyman Pearson’s lemma, for instance (as mentioned in a paper by Alexander Schied). All my apologies for the typos, too.
Marc Henry will present our paper Local Utility and Multivariate Risk Aversion (writen with Alfred Galichon, still available online on http://papers.ssrn.com/) at the Risk Uncertainty and Decision Conference in Evanston, IL, at Northwestern University.
I will try to upload the slides soon…
Marc will give a talk today at the European Center for Advanced Research in Economics and Statistics (ECARES) today, at ULB in Brussels, based on some joint work with also Alfred (the paper can be found online on http://papers.ssrn.com/).
The paper with Alfred Galichon and Marc Henry, on Local Utility and Multivariate Risk Aversion is now available online on http://papers.ssrn.com/,
“The present paper We revisit Machina’s local utility as a tool to analyze attitudes to multivariate risks. Using martingale embedding techniques, we show that for non-expected utility maximizers choosing between multivariate prospects, aversion to multivariate mean preserving increases in risk is equivalent to the concavity of the local utility functions, thereby generalizing Machina’s result in Machina (1982). To analyze comparative risk attitudes within the multivariate extension of rank dependent expected utility of Galichon and Henry (2011), we extend Quiggin’s monotone mean and utility preserving increases in risk and show that the useful characterization given in Landsberger and Meilijson (1994) still holds in the multivariate case“
Marc will give a talk at the Kyoto Symposium in 京都市 on November 29th, on “Multivariate comonotonicity and multivariate dispersion orderings” based on some joint work with also Alfred (the paper can be found online on http://papers.ssrn.com/).