A Characterization of the Symmetrical Monotone Risk Aversion in the RDEU Model.

In a previous paper, Abouda and Chateauneuf proved that for RDEU maximizing MM with non-increasing marginal utility, positivity of the bid-ask spread can be identified with a very weak form of risk aversion SMRA. We perform here a more thorough study of SMRA, firstly in a general setting, and secondly in connection with the general RDEU model.

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Year of publication:	1999
Authors:	Abouda, M. ; Chateauneuf, A.
Institutions:	Centre de recherche de mathématiques et économie mathématique (CERMSEM), Centre d'Économie de la Sorbonne
Subject:	RISK \| MARKET \| MODELS

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Series:	Papiers d'Economie Mathématique et Applications.
Type of publication:	Book / Working Paper
Notes:	20 pages
Classification:	D61 - Allocative Efficiency; Cost-Benefit Analysis ; D63 - Equity, Justice, Inequality, and Other Normative Criteria and Measurement ; D80 - Information and Uncertainty. General ; D81 - Criteria for Decision-Making under Risk and Uncertainty ; G12 - Asset Pricing
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005475303