More on parametric characterizations of risk aversion and prudence |
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Authors: | Thomas Eichner Andreas Wagener |
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Affiliation: | 1.Department of Economics, University of Siegen, H?lderlinstra?e. 3, 57068 Siegen, GERMANY (e-mail: eichner@vwl.wiwi.uni-siegen.de; wagener@vwl.wiwi.uni-siegen.de),DE |
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Abstract: | Summary. 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 [4], cannot be generalized. Received: November 27, 2000; revised version: November 26, 2001 Correspondence to: T. Eichner |
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Keywords: | and Phrases: Risk aversion Prudence. |
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