Precautionary Effort Investment under Cross Risk Aversion
系统科学与信息学报英文版,系统科学与信息学报
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Journal of Systems Science and Information  2019, Vol. 7 Issue (4): 344-358    DOI: 10.21078/JSSI-2019-344-15
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Precautionary Effort Investment under Cross Risk Aversion
Yuqing TAO1, Jie MEI2, Wen CHENG3, Sijie ZOU4
1. Department of Teacher Education, Maanshan Teacher's College, Ma'anshan 243041, China;
2. Class 6, Grade 1, No.1 Middle School Affiliated to Central China Normal University, Wuhan 430223, China;
3. Department of Risk Management, China Huarong Asset Management Co., Ltd, Beijing 100033, China;
4. Department of Finance, Shandong Branch, China Three Gorges New Energy Co., Ltd, Jinan 277000, China
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Abstract 

This paper deals with the effort problem under multiple risks in bivariate utility setting. We identify preference conditions to insure positive or negative effect of a background variable uncertainty on effort in the presence of other risks. We allow for the simultaneous presence of wealth and background variable uncertainties. We investigate the joint effect of two-source uncertainties on effort when two risks are either small or positive quadrant dependent. Our work extends the previous model of effort to bivariate utility framework and presents new insights into the issue of optimal effort under uncertainty.

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Yuqing TAO
Jie MEI
Wen CHENG
Sijie ZOU
Key wordsprecautionary effort   risks correlation   risk aversion   cross prudence   decision-making under uncertainty     
Received: 2019-01-01;
Fund:

Supported by the College Excellent Young Talents Program of Anhui (gxyq2017243) and the College Natural Science Foundation of Anhui Provincial Education Department (KJ2017A851)

Corresponding Authors: Wen CHENG,E-mail:wchengi@sina.com   
 E-mail: wchengi@sina.com
About author: Yuqing TAO,E-mail:673559580@qq.com;Jie MEI,E-mail:429479725@qq.com;Sijie ZOU,E-mail:nmacq8@163.com
Cite this article:   
Yuqing TAO,Jie MEI,Wen CHENG et al. Precautionary Effort Investment under Cross Risk Aversion[J]. Journal of Systems Science and Information, 2019, 7(4): 344-358.
URL:  
http://123.57.41.99/Jwk_si/EN/10.21078/JSSI-2019-344-15     or     http://123.57.41.99/Jwk_si/EN/Y2019/V7/I4/344
 
[1] Yuqing TAO, Wen CHENG, Sijie ZOU. Priority Setting in Health Care with Disease and Treatment Risks[J]. Journal of Systems Science and Information, 2018, 6(6): 552-562.
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