| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP1650 |
| DP1650 Parametric Characterizations of Risk Aversion and Prudence | |
| Lars Tyge Nielsen; Fatma Lajeri | |
| 发表日期 | 1997-05-30 |
| 出版年 | 1997 |
| 语种 | 英语 |
| 摘要 | We show that in order to determine whether one decision-maker is more risk averse than another, it is sufficient to consider their attitudes towards a given two-parameter family of risks. When all risks belong to this family, useful comparisons of risk aversion can be made even in situations of ?background risk?. Since expected utility becomes a function of mean and standard deviation, risk aversion can be measured by the marginal rate of substitution between mean and standard deviation. A utility function exhibits decreasing risk aversion if, and only if, this slope is a decreasing function of the mean. Second, we use the concept of prudence to solve a long-standing problem in mean-variance analysis: what is the economic interpretation of the concavity of a utility function which is a function of mean and variance? We show that in the case of normal distributions, utility is concave as a function of variance and mean if, and only if, it exhibits decreasing prudence. |
| 主题 | Financial Economics |
| 关键词 | Prudence Risk aversion |
| URL | https://cepr.org/publications/dp1650 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/530790 |
| 推荐引用方式 GB/T 7714 | Lars Tyge Nielsen,Fatma Lajeri. DP1650 Parametric Characterizations of Risk Aversion and Prudence. 1997. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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