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 [Economic Theory 15 (2000), 469-476], cannot be generalized.
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Bibliographic InfoPaper provided by Universität Siegen, Fakultät Wirtschaftswissenschaften, Wirtschaftsinformatik und Wirtschaftsrecht in its series Volkswirtschaftliche Diskussionsbeiträge with number 99-01.
Length: 6 pages
Date of creation: 2001
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- Thomas Eichner & Andreas Wagener, 2003. "More on parametric characterizations of risk aversion and prudence," Economic Theory, Springer, vol. 21(4), pages 895-900, 06.
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- 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.
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