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The Flexible Three Parameter Utility Function

Author

Listed:
  • Denis Conniffe

    (Economics Department, National University of Ireland Maynooth)

Abstract

This brief paper introduces a flexible three parameter utility function, the FTP, which has a reasonably simple mathematical expression. It can be seen as a generalisation of the PRA utility function of Xie (2000), but it is more flexible. It encompasses other systems of utility functions including the HARA family and it can incorporate properties such as subsistence and saturation.

Suggested Citation

  • Denis Conniffe, 2007. "The Flexible Three Parameter Utility Function," Annals of Economics and Finance, Society for AEF, vol. 8(1), pages 57-63, May.
    • Handle: RePEc:cuf:journl:y:2007:v:8:i:1:p:57-63
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    References listed on IDEAS

    as
    1. Danyang Xie, 2000. "Power Risk Aversion Utility Functions," Annals of Economics and Finance, Society for AEF, vol. 1(2), pages 265-282, November.
    2. Atanu Saha, 1993. "Expo-Power Utility: A ‘Flexible’ Form for Absolute and Relative Risk Aversion," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 75(4), pages 905-913.
    Full references (including those not matched with items on IDEAS)

    Citations

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    Cited by:

    1. Conniffe, Denis, 2008. "Generalised Means of Simple Utility Functions with Risk Aversion," The Economic and Social Review, Economic and Social Studies, vol. 39(1), pages 1-12.
    2. Jack Meyer, 2010. "Representing risk preferences in expected utility based decision models," Annals of Operations Research, Springer, vol. 176(1), pages 179-190, April.
    3. Ruo Jia & Zenan Wu, 2019. "Insurer commitment and dynamic pricing pattern," The Geneva Risk and Insurance Review, Palgrave Macmillan;International Association for the Study of Insurance Economics (The Geneva Association), vol. 44(1), pages 87-135, March.
    4. Georges Hübner & Thomas Lejeune, 2015. "Portfolio choice and investor preferences : A semi-parametric approach based on risk horizon," Working Paper Research 289, National Bank of Belgium.
    5. Denis Conniffe, 2007. "The Generalised Extreme Value Distribution as Utility Function," The Economic and Social Review, Economic and Social Studies, vol. 38(3), pages 275-288.
    6. Spreeuw, Jaap, 2014. "Archimedean copulas derived from utility functions," Insurance: Mathematics and Economics, Elsevier, vol. 59(C), pages 235-242.
    7. Etelvina Stefani Chavez & Gastón Milanesi & Gabriela Pesce, 2021. "Aversión al riesgo implícita en los precios de mercado de diferentes activos financieros de Argentina," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, vol. 16(1), pages 1-23, Enero - M.
    8. Ruo Jia & Zenan Wu, 2019. "Insurer commitment and dynamic pricing pattern," The Geneva Papers on Risk and Insurance Theory, Springer;International Association for the Study of Insurance Economics (The Geneva Association), vol. 44(1), pages 87-135, March.

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    More about this item

    Keywords

    Risk aversion properties; FTP utility functions;

    JEL classification:

    • B41 - Schools of Economic Thought and Methodology - - Economic Methodology - - - Economic Methodology
    • C60 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - General

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