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.
Institutions:	Fachbereich Wirtschaftswissenschaften, Universität Konstanz
Subject:	risk aversion \| equivalence class \| utility theory

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Extent:	application/pdf
Series:	Discussion Papers, Series II.
Type of publication:	Book / Working Paper
Notes:	Number 345
Classification:	D81 - Criteria for Decision-Making under Risk and Uncertainty ; D11 - Consumer Economics: Theory ; G11 - Portfolio Choice
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010958408