Note—A Note on Multivariate Risk and Separable Utility Functions
Published Online:1 Jun 1977https://doi.org/10.1287/mnsc.23.10.1143
Abstract
Richard [Richard, Scott F. 1975. Multivariate risk aversion utility independence and separable utility function. Management Sci.22 (1) 12–21.] derived a number of results on multivariate risk for sufficiently regular utility functions. The results generalize to quite arbitrary utility functions.
