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On the concavity and quasiconcavity properties of (σ,μ) utility functions
Lajeri-Chaherli, Fatma - In: Bulletin of economic research 68 (2016) 3, pp. 287-296
Persistent link: https://www.econbiz.de/10011502796
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Risk aversion for nonsmooth utility functions
Würth, Andreas; Schumacher, Johannes M. - In: Journal of mathematical economics 47 (2011) 2, pp. 109-128
Persistent link: https://www.econbiz.de/10009306475
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Comparative statics effects independent of the utility function : when do we act the same way under risk?
Rodríguez-Puerta, Inmaculada - In: European journal of operational research : EJOR 247 (2015) 2, pp. 610-617
Persistent link: https://www.econbiz.de/10011375786
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Relative concave utility for risk and ambiguity
Baillon, Aurélien; Driesen, Bram; Wakker, Peter P. - In: Games and economic behavior 75 (2012) 2, pp. 481-489
Persistent link: https://www.econbiz.de/10009621903
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A two-parameter model of dispersion aversion
Chambers, Robert G.; Grant, Simon; Polak, Ben; Quiggin, … - In: Journal of economic theory 150 (2014), pp. 611-641
Persistent link: https://www.econbiz.de/10010360468
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Epstein–Zin utility in DICE : is risk aversion irrelevant to climate policy?
Ackerman, Frank; Stanton, Elizabeth A.; Bueno, Ramón - In: Environmental & resource economics : the official … 56 (2013) 1, pp. 73-84
Persistent link: https://www.econbiz.de/10009790664
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Preference for safety under the Choquet model : in search of a characterization
Cohen, Michèle; Meilijson, Isaac - In: Economic theory : official journal of the Society for … 55 (2014) 3, pp. 619-642
Persistent link: https://www.econbiz.de/10010346632
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Mean-variance utility
Nakamura, Yutaka - In: Journal of economic theory 160 (2015), pp. 536-556
Persistent link: https://www.econbiz.de/10011549547
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Market Equilibrium Implied Risk Aversion and Utility
Paganopoulos, Stylianos - 2009
Using as a starting point a popular version of the utility function, we obtain a value for the risk aversion parameter … ratio. Moreover, we obtain a value for the utility of the market equilibrium portfolio …
Persistent link: https://www.econbiz.de/10013156486
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Concavity, Stochastic Utility, and Risk Aversion
Jarrow, Robert - 2020
This paper studies the relation between concavity, stochastic or state dependent utility functions, and risk aversion …. Using the common definition of risk aversion, but modified for state dependent preferences, we show that concavity does not … imply risk aversion. Instead, it implies a weaker version of risk aversion, defined herein, and called risk aversion for …
Persistent link: https://www.econbiz.de/10012844461