More on parametric characterizations of risk aversion and prudence
AbstractThis 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 , cannot be generalized. Copyright Springer-Verlag Berlin Heidelberg 2003
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Bibliographic InfoArticle provided by Springer in its journal Economic Theory.
Volume (Year): 21 (2003)
Issue (Month): 4 (06)
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Web page: http://link.springer.de/link/service/journals/00199/index.htm
Other versions of this item:
- Thomas Eichner & Andreas Wagener, 2001. "More on Parametric Characterizations of Risk Aversion and Prudence," Volkswirtschaftliche DiskussionsbeitrÃ¤ge 99-01, Universität Siegen, Fakultät Wirtschaftswissenschaften, Wirtschaftsinformatik und Wirtschaftsrecht.
- JEL - Labor and Demographic Economics - - - - -
- Cla - Mathematical and Quantitative Methods - - - - -
- Num - Economic History - - - - -
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- Thomas Eichner & Andreas Wagener, 2005. "Notes and Comments: Measures of risk attitude: correspondences between mean-variance and expected-utility approaches," Decisions in Economics and Finance, Springer, vol. 28(1), pages 53-65, 06.
- James Cox & Vjollca Sadiraj & Bodo Vogt & Utteeyo Dasgupta, 2013. "Is there a plausible theory for decision under risk? A dual calibration critique," Economic Theory, Springer, vol. 54(2), pages 305-333, October.
- Guo, Xu & Wong, Wing-Keung & Zhu, Lixing, 2013. "Two-moment decision model for location-scale family with background asset," MPRA Paper 43864, University Library of Munich, Germany.
- Alghalith, Moawia & Guo, Xu & Wong, Wing-Keung & Zhu, Lixing, 2013. "Input Demand under Joint Energy and Output Prices Uncertainties," MPRA Paper 52368, University Library of Munich, Germany.
- Wagener, Andreas, 2003. "Comparative statics under uncertainty: The case of mean-variance preferences," European Journal of Operational Research, Elsevier, vol. 151(1), pages 224-232, November.
- Wing-Keung Wong & Chenghu Ma, 2008. "Preferences over location-scale family," Economic Theory, Springer, vol. 37(1), pages 119-146, October.
- Gerry Boyle & Denis Conniffe, 2008. "Compatibility of expected utility and μ/σ approaches to risk for a class of non location–scale distributions," Economic Theory, Springer, vol. 35(2), pages 343-366, May.
- Andreas Wagener, 2005. "Linear risk tolerance and mean-variance preferences," Economics Bulletin, AccessEcon, vol. 4(1), pages 1-8.
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