Expected utility and the siegel paradox: A generalization

Ronny Aboudi, Dominique Thon

Research output: Contribution to journalArticle

1 Scopus citations

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

ASJC Scopus subject areas

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

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