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More on Parametric Characterizations of Risk Aversion and Prudence

  • Thomas Eichner
  • Andreas Wagener

This 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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File URL: http://www.wiwi.uni-siegen.de/vwl/repec/sie/papers/99-01.pdf
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Paper provided by Universität Siegen, Fakultät Wirtschaftswissenschaften, Wirtschaftsinformatik und Wirtschaftsrecht in its series Volkswirtschaftliche Diskussionsbeiträge with number 99-01.

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Length: 6 pages
Date of creation: 2001
Date of revision:
Handle: RePEc:sie:siegen:99-01
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