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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.
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    Citations

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    Cited by:

    1. Jack Meyer, 2010. "Representing risk preferences in expected utility based decision models," Annals of Operations Research, Springer, vol. 176(1), pages 179-190, April.
    2. 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.
    3. Spreeuw, Jaap, 2014. "Archimedean copulas derived from utility functions," Insurance: Mathematics and Economics, Elsevier, vol. 59(C), pages 235-242.

    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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