Decreasing absolute risk aversion : some clarification

La Vallée (1968), in the expected utility model, gives a sufficient condition for positivity of the bid-selling spread. In this article, we show that this sufficient condition, namely decreasing absolute risk aversion (DARA) is in fact necessary. Moreover, we prove that the expected utility hypothesis and differentiability of the utility function are not required.

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Year of publication:	2008-03
Authors:	Abouda, Moez
Institutions:	HAL
Subject:	DARA \| NARA \| bid-selling spread \| perfect hedging \| risk premium

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Extent:	application/pdf
Series:	Post-Print.
Type of publication:	Book / Working Paper
Notes:	View the original document on HAL open archive server: http://halshs.archives-ouvertes.fr/halshs-00270648
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010750466