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Quasilineare Mittel von Periodensicherheitswerten als intertemporale Nutzenfunktionen

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  • Harald Dyckhoff

    (RWTH Aachen)

Abstract

Zusammenfassung Intertemporale Nutzenfunktionen werden regelmäßig als Summe diskontierter Periodenerwartungsnutzen spezifiziert. Diese sind bei ordinaler Nutzenmessung äquivalent zu einem sehr speziellen Fall quasilinearer Mittel von Periodensicherheitswerten und bei kardinaler Messung nur mit solchen periodenbezogenen Risikopräferenzen im engeren Sinne vereinbar, die subjektiver Risikoneutralität entsprechen. Die allgemeinere Gestalt der quasilinearen Mittel, welche die Sicherheitswerte der Höhenpräferenz der Periodenergebnisse zeitlich gewichtet amalgamiert, lässt dagegen subjektive Periodenrisikopräferenzen sowie zeitliche Ungleichheitsscheu oder -freude zu. Die Analyse zeigt aber auch, dass sie teilweise recht einschneidende Eigenschaften aufweist und insbesondere nur in den genannten Sonderfällen mit den Axiomen der Erwartungsnutzentheorie vereinbar ist.

Suggested Citation

  • Harald Dyckhoff, 2007. "Quasilineare Mittel von Periodensicherheitswerten als intertemporale Nutzenfunktionen," Schmalenbach Journal of Business Research, Springer, vol. 59(8), pages 982-1001, December.
    • Handle: RePEc:spr:sjobre:v:59:y:2007:i:8:d:10.1007_bf03372785
    DOI: 10.1007/BF03372785
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    References listed on IDEAS

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    1. James S. Dyer & Rakesh K. Sarin, 1982. "Relative Risk Aversion," Management Science, INFORMS, vol. 28(8), pages 875-886, August.
    2. Donald Meyer & Jack Meyer, 2005. "Relative Risk Aversion: What Do We Know?," Journal of Risk and Uncertainty, Springer, vol. 31(3), pages 243-262, December.
    3. Scott F. Richard, 1975. "Multivariate Risk Aversion, Utility Independence and Separable Utility Functions," Management Science, INFORMS, vol. 22(1), pages 12-21, September.
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    Cited by:

    1. Josef Schosser & Markus Grottke, 2013. "Nutzengestützte Unternehmensbewertung: Ein Abriss der jüngeren Literatur," Schmalenbach Journal of Business Research, Springer, vol. 65(4), pages 306-341, June.

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    More about this item

    Keywords

    Certainty Value; Intertemporal Utility Function; Quasilinear Mean;
    All these keywords.

    JEL classification:

    • C00 - Mathematical and Quantitative Methods - - General - - - General
    • D90 - Microeconomics - - Micro-Based Behavioral Economics - - - General

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