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1. The economics of risk and time [2001]
 Gollier, Christian.
 Cambridge, Mass. : MIT Press, ©2001.
 Description
 Book — xx, 445 pages : illustrations ; 24 cm
 Summary

 The expected utility model
 Risk aversion
 Change in risk
 The standard portfolio problem
 The equilibrium price risk
 A hyperplane separation theorem
 Logsupermodularity
 Risk aversion with background risk
 The tempering effect of background risk
 Taking multiple risks
 The dynamic investment problem
 Special topics in dynamic finance
 The demand for contingent claims
 Risk on wealth
 Consumption under certainty
 Precautionary saving and prudence
 The equilibrium price of time
 The liquidity constraint
 The savingportfolio problem
 Disentangling risk and time
 Efficient risk sharing
 The equilibrium price of risk and time
 Searching for the representative agent
 The value of information
 Decision making and information
 Information and equilibrium.
(source: Nielsen Book Data)
This book updates and advances the theory of expected utility as applied to risk analysis and financial decision making. Von Neumann and Morgenstern pioneered the use of expected utility theory in the 1940s, but most utility functions used in financial management are still relatively simplistic and assume a meanvariance 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 logsupermodular functions as technical tools for solving various decisionmaking problems under uncertainty; s choice involving multiple risks; the ArrowDebreu portfolio problem; consumption and saving; the equilibrium price of risk and time in an ArrowDebreu 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.
(source: Nielsen Book Data)
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FINANCE62001
 Course
 FINANCE62001  Financial Markets I
 Instructor(s)
 Herbert, Benjamin J