G2TT
来源类型Discussion paper
规范类型论文
来源IDDP1650
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
URLhttps://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。
个性服务
推荐该条目
保存到收藏夹
导出为Endnote文件
谷歌学术
谷歌学术中相似的文章
[Lars Tyge Nielsen]的文章
[Fatma Lajeri]的文章
百度学术
百度学术中相似的文章
[Lars Tyge Nielsen]的文章
[Fatma Lajeri]的文章
必应学术
必应学术中相似的文章
[Lars Tyge Nielsen]的文章
[Fatma Lajeri]的文章
相关权益政策
暂无数据
收藏/分享

除非特别说明,本系统中所有内容都受版权保护,并保留所有权利。