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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

Prospect Theory, Indifference Curves, and Hedging Risks

Broll, Udo - 2010

The prospect theory is one of the most popular decision-making theories. It is based on the S-shaped utility function …, unlike the von Neumann and Morgenstern (NM) theory, which is based on the concave utility function. The S-shape brings in … mathematical challenges: simple extensions and generalizations of NM theory into the prospect theory cannot be frequently achieved …

Persistent link: https://www.econbiz.de/10013142352

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