Browsing by Author/Contributor "Menezes, Carmen F."
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Income and Substitution Effects of Increases in Risk when Payoffs are Linear in the Random Variable
Menezes, Carmen F.; Wang, X. H. (X. Henry), 1962- (Department of Economics, 2000)Payoff functions that are linear in the random variable arise in a wide variety of decision models under uncertainty. The decomposition of the effect of increased risk on decisions into income and substitution terms for ... -
Increasing Outer Risk
Menezes, Carmen F.; Wang, X. H. (X. Henry), 1962- (Department of Economics, 2004)Recent empirical research has established that the distributions of a wide range of economic variables are kurtotic in that they have higher peak(s) in the neighborhood of the mean and greater elongation in the tails than ... -
The Precautionary Premium and the Risk-Downside Risk Tradeoff
Menezes, Carmen F.; Wang, X. H. (X. Henry), 1962- (Department of Economics, 2002)This paper shows that the precautionary premium embodies a tradeoff between risk and downside risk. It is the size of a mean-preserving spread for thish the strength of aversion to risk just offsets the strength of aversion ...