Expected utility and the siegel paradox: A generalization

Ronny Aboudi, Dominique Thon

Research output: Contribution to journalArticle

1 Citation (Scopus)

Abstract

It was recently shown by Sinn that, under certain conditions, because of the Siegel paradox, even risk-averse agents can find speculation on forward currency markets attractive. His assumptions are that the spot and forward rates are identically distributed and statistically independent and that the agents' coefficients of relative risk aversion are constant and inferior to unity. We show that both assumptions of statistical independence and constant relative risk aversion can be dramatically relaxed.

Original languageEnglish (US)
Pages (from-to)69-93
Number of pages25
JournalJournal of Economics Zeitschrift für Nationalökonomie
Volume57
Issue number1
DOIs
StatePublished - Feb 1 1993

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Expected utility
Paradox
Speculation
Relative risk aversion
Forward rates
Coefficients
Risk-averse
Constant relative risk aversion
Currency market

ASJC Scopus subject areas

  • Economics and Econometrics
  • Business, Management and Accounting(all)

Cite this

Expected utility and the siegel paradox : A generalization. / Aboudi, Ronny; Thon, Dominique.

In: Journal of Economics Zeitschrift für Nationalökonomie, Vol. 57, No. 1, 01.02.1993, p. 69-93.

Research output: Contribution to journalArticle

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