Arbeitspapier
More on Parametric Characterizations of Risk Aversion and Prudence
This note provides an alternative proof for the equivalence of decreasing absolute prudence (DAP) in the expected utility framework and in a two-parametric approach where utility is a function of the mean and the standard deviation. In addition, we elucidate that the equivalence of DAP and the concavity of utility as a function of mean and variance, which was shown to hold for normally distributed stochastics in Lajeri and Nielsen [Economic Theory 15 (2000), 469-476], cannot be generalized.
- Language
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Englisch
- Bibliographic citation
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Series: Volkswirtschaftliche Diskussionsbeiträge ; No. 99-01
- Classification
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Wirtschaft
- Subject
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Erwartungsnutzen
Nutzenfunktion
Risikoaversion
Theorie
- Event
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Geistige Schöpfung
- (who)
-
Eichner, Thomas
Wagener, Andreas
- Event
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Veröffentlichung
- (who)
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Universität Siegen, Fakultät III, Wirtschaftswissenschaften, Wirtschaftsinformatik und Wirtschaftsrecht
- (where)
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Siegen
- (when)
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2001
- Handle
- Last update
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10.03.2025, 11:45 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Eichner, Thomas
- Wagener, Andreas
- Universität Siegen, Fakultät III, Wirtschaftswissenschaften, Wirtschaftsinformatik und Wirtschaftsrecht
Time of origin
- 2001
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