haku: @author Caballe, J. / yhteensä: 4
viite: 2 / 4
| Tekijä: | Caballe, J. Pomansky, A. |
| Otsikko: | Mixed risk aversion |
| Lehti: | Journal of Economic Theory
1996 : NOV, VOL. 71:2, p. 485-513 |
| Asiasana: | ECONOMIC THEORY RISK AVERSION ECONOMICS |
| Kieli: | eng |
| Tiivistelmä: | The authors analyze the class of increasing utility functions exhibiting all derivatives of alternating sign. This property, that is called mixed risk aversion, is satisfied by the utility functions most commonly used in financial economics. The utility functions displaying mixed risk aversion can be expressed as mixtures of exponential functions. The authors characterize stochastic dominance and they find conditions for both mutual aggravation and mutual amelioration of risks when agents are mixed risk averse. |
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