Analyses of risk-bearing often assume that agents face only one risk. Agents however usually face several risks and the interaction between them can affect the willingness to bear any one of them. We consider how the introduction of background risk affects the comparative statics predictions of...

This paper analyzes the effect of wage-rate uncertainty on long-run competitive equilibrium for a labor market made up of heterogeneous workers. The authors show that, if workers are risk-averse, an increase in wage rate uncertainty always lowers aggregate hours of work and increases the...

This article investigates the preservation of multivariate expected utility comparative statics for "smooth" nonexpected utility representations. Specifically, we answer the following question: if an expected utility comparative statics property depends only on preferences over sure prospects,...

This article studies an agent's valuation of the right to trade in a complete contingent claims market. The proposed measure generalizes the Pratt(1964) risk premium, which captures the willingness to pay to replace a given risky wealth prospect with an actuarially equivalent, nonrisky wealth....

This paper analyzes the effect of increases in risk aversion on a general consumer choice model with multiple sources of risk. Sufficient--and, in the two commodity case, necessary--conditions for a given demand function to increase (or decrease) with increased risk aversion are derived. These...

We study the comparative statics implications of mean-variance preferences for optimal portfolios. Specifically, we show that all risk-averse mean-variance investors raise their investment in a risky asset in response to a change in that asset's return distribution if and only if the change...

Willig (1976) argues that the change in consumer's surplus is often a good approximation to the willingness to pay for a price change: if the income elasticity of demand is small, or the price change is small, then the percentage error from using consumer's surplus is small. If the price of a...