• 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 ...