THE PRESERVATION OF MULTIVARIATE COMPARATIVE STATICS IN NONEXPECTED UTILITY-THEORY

This article investigates the preservation of multivariate expected ut ility comparative statics for ''smooth'' nonexpected utility represent ations. Specifically, we answer the following question: if an expected utility comparative statics property depends only on preferences over sure prospects, then when will a nonexpected utility maximizer with i dentical sure preferences also satisfy that property? We demonstrate t hat the effects of increased risk aversion are preserved under the ''A lmost Degenerate Independence'' axiom; but that those bf distribution changes of exogenous risks are not preserved under stringent assumptio ns. Hence, nonexpected utility comparative statics may diverge from ex pected utility, even for ''first-order'' properties-those whose effect is determinable from restrictions on ''local'' utility functions.