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Wiley InterScience | ||||||||||||
  Bulletin of Economic ResearchVolume 56 Issue 1, Pages 81 - 106 Published Online: 6 Jan 2004 Journal compilation © 2010 Blackwell Publishing Ltd and the Board of Trustees of the Bulletin of Economic Research
Abstract | References | Full Text: PDF (Size: 183K) | Related Articles | Citation Tracking  Risk aversion and risk loving in the small: a decomposition of the multivariate risk premium Copyright Blackwell Publishers Ltd and the Board of Trustees of the Bulletin of Economic Research, 2004 KEYWORDS scalar multivariate risk premium • uncertainty • welfare KEYWORDS D11 • D12 • D81 Abstract
This note proposes a decomposition of the familiar scalar multivariate risk premium into components which can be easily interpreted in the context of consumer theory. The premium under consideration is the standard one used to ascertain the impact of price and income risk on consumer welfare. This proposed premium decomposition allows for a more intuitive identification of the detrimental and beneficial effects that arise from income and price risk. As an illustrative example, this decomposition is used to ascertain the welfare effects arising from the price fluctuations experienced by UK households over the period 1963–97. Received: 28 February 2002; Accepted: 09 September 2002; | 
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