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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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