Constant relative risk aversion and form equivalence classes

We derive a class of utility functions that are equivalent with respect to a well-defined functional form. We apply a general view of constant relative risk aversion to investigate on different equivalence relations. Then we compare our results with standard applications in economics and finance.

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Year of publication:	1997
Authors:	Battermann, Harald L. ; Broll, Udo ; Wahl, Jack E.
Publisher:	Konstanz : Universität Konstanz, Sonderforschungsbereich 178 - Internationalisierung der Wirtschaft
Subject:	Nutzenfunktion \| Risiko \| Theorie \| risk aversion \| equivalence class \| utility theory

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Series:	Diskussionsbeiträge - Serie II ; 345
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Working Paper
Language:	English
Other identifiers:	733234364 [GVK] hdl:10419/101540 [Handle] RePEc:zbw:kondp2:345 [RePEc]
Classification:	D81 - Criteria for Decision-Making under Risk and Uncertainty ; D11 - Consumer Economics: Theory ; G11 - Portfolio Choice
Source:	EconStor

Persistent link: https://www.econbiz.de/10010397965