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Generalised Means of Simple Utility Functions with Risk Aversion

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Author Info
Conniffe, Denis (Dept. of Economics, National University of Ireland, Maynooth, Co. Kildare)
Abstract

The paper examines the properties of a generalised mean of simple utilities each displaying risk aversion, that is, with first derivative positive and second derivative negative. It shows the mean is itself a valid utility function and argues that simple component utilities, each of which may have quite restricted risk aversion properties, can be parsimoniously combined through the generalised mean formula to give a much more versatile utility function.

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File URL: http://www.esr.ie/Vol39_1/01%20Conniffe.pdf
File Format: application/pdf
File Function: First version, 2008
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Publisher Info
Article provided by Economic and Social Studies in its journal Economic and Social Review.

Volume (Year): 39 (2008)
Issue (Month): 1 ()
Pages: 1-12
Download reference. The following formats are available: HTML (with abstract), plain text (with abstract), BibTeX, RIS (EndNote, RefMan, ProCite), ReDIF
Handle: RePEc:eso:journl:v:39:y:2008:i:1:p:1-12

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Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:

  1. Caballe, J. & Pomansky, A., 1995. "Mixed Risk Aversion," Research Institute of Industrial Economics Working Papers 444, Research Institute of Industrial Economics (IFN).
  2. Denis Conniffe, 2007. "A Note on Generating Globally Regular Indirect Utility Functions," The B.E. Journal of Theoretical Economics, Berkeley Electronic Press, vol. 7(1). [Downloadable!]
  3. Kimball, Miles S, 1993. "Standard Risk Aversion," Econometrica, Econometric Society, vol. 61(3), pages 589-611, May. [Downloadable!] (restricted)
    Other versions:
  4. Caballe, Jordi & Pomansky, Alexey, 1996. "Mixed Risk Aversion," Journal of Economic Theory, Elsevier, vol. 71(2), pages 485-513, November. [Downloadable!] (restricted)
  5. Meyer, Donald J. & Meyer, Jack, 2005. "Risk preferences in multi-period consumption models, the equity premium puzzle, and habit formation utility," Journal of Monetary Economics, Elsevier, vol. 52(8), pages 1497-1515, November. [Downloadable!] (restricted)
  6. Maurice J. Roche, 2006. "The equity premium puzzle and decreasing relative risk aversion," Applied Financial Economics Letters, Taylor and Francis Journals, vol. 2(3), pages 179-182, May. [Downloadable!] (restricted)
    Other versions:
  7. Nakamura, Yutaka, 1996. "Sumex utility functions," Mathematical Social Sciences, Elsevier, vol. 31(1), pages 39-47, February. [Downloadable!] (restricted)
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