On inverse utility and third-order effects in the economics of uncertainty
We prove that the coefficient of absolute prudence is greater than k - times coefficient of absolute risk aversion for the utility function if and only if the coefficient of absolute prudence is (3-k) times the coefficient of absolute risk aversion for the inverse utility function. Moreover this is also equivalent to (k-2)-concavity of the first derivative of the inverse utility function.
Year of publication: |
2004-06
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Authors: | AMIR, Rabah ; CZUPRYNA, Marcin |
Institutions: | Center for Operations Research and Econometrics (CORE), École des Sciences Économiques de Louvain |
Subject: | absolute prudence | absolute risk aversion | inverse utility function |
Saved in:
freely available
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Notes: | The text is part of a series UNIVERSITE CATHOLIQUE DE LOUVAIN, Center for Operations Research and Econometrics (CORE) Number 2004045 |
Classification: | D80 - Information and Uncertainty. General ; D81 - Criteria for Decision-Making under Risk and Uncertainty |
Source: |
Persistent link: https://www.econbiz.de/10005008445
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