Consider a problem of choice from a set R of multivariate random variables. Let us examine only efficient elements of R which are optimal choices of risk averse decision-makers (whose aim is to maximize expected utility over R). We obtain a price characteristic of all risk-aversely efficient random variables in R. This result has been applied to multi-sector optimal growth model to obtain a characterization by competitive prices of all risk-aversely efficient stationary consumption programs.
|Number of pages||9|
|Journal||Journal of Economic Theory|
|State||Published - Apr 1984|