Some interpretations and application of the concept of Prudence.

Summary This thesis on the economics of risk and uncertainty consists of four essays. The first two deal with portfolio choice and the last two with the concept of Prudence. The thesis is built within the structural framework of the utility expectation model to define and study generalizations of the concept of risk aversion. The first essay studies a portfolio choice problem in the presence of a "consumption externality": the consumption of other agents enters the utility function of the agent under consideration. The second essay deals with an Arrow-Debreu portfolio choice problem in the presence of incomplete markets: the asset depends on the verifiable signal, not on the realized state. The analysis in the third essay takes the analysis of Eeckhouudt & Schlesinger (2003) and extends it to the multidimensional setting. The last essay introduces two notions of "prudence premium" and "restriction on the risk density function" to preserve the properties in expectation.