Abstract
Absolute risk aversion (R A ) and relative risk aversion (R R ). u(y) is a utility function, y is income, or consumption. A characterization of utility functions with constant absolute and relative risk aversion, respectively. A1 and A2 are constants, A2 ≠ 0. Risk aversions for two special utility functions.
Keywords
- Distribution Function
- Utility Function
- Game Theory
- Risk Aversion
- Cumulative Distribution Function
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See Huang and Litzenberger (1988), Hadar and Russell (1969), and Rothschild and Stiglitz (1970).
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© 2010 Springer-Verlag Berlin Heidelberg
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Sydsæter, K., Strøm, A., Berck, P. (2010). Risk and risk aversion theory. In: Economists’ Mathematical Manual. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-540-28518-2_29
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DOI: https://doi.org/10.1007/978-3-540-28518-2_29
Publisher Name: Springer, Berlin, Heidelberg
Print ISBN: 978-3-540-26088-2
Online ISBN: 978-3-540-28518-2
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