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Constant relative risk aversion and form equivalence classes

Battermann, Harald L.; Broll, Udo; Wahl, Jack E. - 1997

We derive a class of utility functions that are equivalent with respect to a well-defined functional form. We apply a general view of constant relative risk aversion to investigate on different equivalence relations. Then we compare our results with standard applications in economics and finance.

Persistent link: https://www.econbiz.de/10009675762

Constant relative risk aversion and form equivalence classes

Battermann, Harald L. - 1997

Persistent link: https://www.econbiz.de/10013388229

Utility functions of equivalent form and the effect of parameter changes on optimum decision making

Battermann, Harald L. (contributor); Broll, Udo (contributor) - 2006

We derive a class of utility functions that are equivalent with respect to a well-defined functional form. We study the case of constant relative risk aversion (of some order) to investigate on different equivalence relations in order to determine the, possibly infinite, number of equivalence...

Persistent link: https://www.econbiz.de/10003379506

Utility functions of equivalent form and the effect of parameter changes on optimum decision making

Battermann, Harald L.; Broll, Udo; Wahl, Jack E. - In: Economic theory : official journal of the Society for … 34 (2008) 3, pp. 401-414

Persistent link: https://www.econbiz.de/10003607007

Constant relative risk aversion and form equivalence classes

Battermann, Harald L.; Broll, Udo; Wahl, Jack E. - 1997

Persistent link: https://www.econbiz.de/10010397965

Collateral in banking policy and adverse selection

Broll, Udo - In: The Manchester School of Economic and Social Studies 54 (1986) 4, pp. 357-366

Persistent link: https://www.econbiz.de/10001093828

The banking firm under ambiguity aversion

Broll, Udo; Welzel, Peter; Kit, Pong Wong - 2016

We examine risk taking when the bank's preferences exhibit smooth ambiguity aversion. Ambiguity is modeled by a second …-order probability distribution that captures the bank's uncertainty about which of the subjective beliefs govern the financial asset … the case of greater ambiguity aversion. Given that the competitive bank's smooth ambiguity preferences exhibit non …

Persistent link: https://www.econbiz.de/10011541280

Collateral in banking policy : on the possibility of signaling

Bieta, Volker; Broll, Udo; Siebe, Wilfried - In: Mathematical social sciences 71 (2014), pp. 137-141

Persistent link: https://www.econbiz.de/10010500919

Optimum bank equity capital and value at risk

Broll, Udo; Wahl, Jack E. - In: Strategic management : a European approach, (pp. 69-82). 2002

Persistent link: https://www.econbiz.de/10001650430

Value at risk, bank equity and credit risk

Broll, Udo; Wahl, Jack E. - 2003

Persistent link: https://www.econbiz.de/10001755540

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