Chen, An; Pelsser, Antoon; Vellekoop, Michel - In: Journal of Economic Theory 146 (2011) 5, pp. 2075-2092
We develop a new class of utility functions, SAHARA utility, with the distinguishing feature that it allows absolute risk aversion to be non-monotone and implements the assumption that agents may become less risk averse for very low values of wealth. The class contains the well-known exponential...