- Tytuł:
- Risk Attitudes, Buying and Selling Price for a Lottery and Simple Strategies
- Autorzy:
- Lewandowski, Michał
- Powiązania:
- https://bibliotekanauki.pl/articles/483243.pdf
- Data publikacji:
- 2013
- Wydawca:
- Polska Akademia Nauk. Czytelnia Czasopism PAN
- Tematy:
-
wealth-invariance
scale-invariance
CARA
CRRA
DARA
risk aversion
buying and selling price for a lottery - Opis:
- This paper defines the concept of simple strategy and introduces three kinds of simple strategies: wealth-invariant, scale-invariant and "wealthier-accept more". For three commonly used utility function families: CARA, CRRA and DARA equivalent characterizations are obtained in terms of the corresponding simple strategy, in terms of the buying and selling price properties, and in terms of the utility function properties as expressed by Cauchy functional equations. Moreover, an extension of famous Pratt (1964) theorem is proved which involves buying price for a lottery as an alternative measure of comparative risk aversion. Additionally a number of propositions on both selling and buying price for a lottery and CRRA utility class are proved.
- Źródło:
-
Central European Journal of Economic Modelling and Econometrics; 2013, 5, 1; 1-34
2080-0886
2080-119X - Pojawia się w:
- Central European Journal of Economic Modelling and Econometrics
- Dostawca treści:
- Biblioteka Nauki
Artykuł