Average Reviews:
(More customer reviews)Gollier has written a book that not many others could have written. It is VERY complete, it is full of deep insights, and, for me, it is a pleasure to read. Don't be mistaken: this is a research book, not a textbook. But for those of us doing research in decision theory, general equilibrium, finance, or macroeconomics, it is simply a must. How could you afford NOT to buy it?
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This book updates and advances the theory of expected utility as appliedto risk analysis and financial decision making. Von Neumann and Morgensternpioneered the use of expected utility theory in the 1940s, but most utilityfunctions used in financial management are still relatively simplistic and assume amean-variance world. Taking into account recent advances in the economics of riskand uncertainty, this book focuses on richer applications of expected utility infinance, macroeconomics, and environmental economics.The book covers these topics:expected utility theory and related concepts; the standard portfolio problem ofchoice under uncertainty involving two different assets; P the basic hyperplaneseparation theorem and log-supermodular functions as technical tools for solvingvarious decision-making problems under uncertainty; s choice involving multiplerisks; the Arrow-Debreu portfolio problem; consumption and saving; the equilibriumprice of risk and time in an Arrow-Debreu economy; and dynamic models of decisionmaking when a flow of information on future risks is expected over time. The book isappropriate for both students and professionals. Concepts are presented intuitivelyas well as formally, and the theory is balanced by empirical considerations. Eachchapter concludes with a problem set.
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