On Inverse Utility and Third-Order Effects in the Economics of Uncertainty

We prove that the coefficient of absolute prudence is greater than k - times coefficient of absolute risk aversion for the utility function if and only if the coefficient of absolute prudence is (3-k) times the coefficient of absolute risk aversion for the inverse utility function. Moreover this is also equivalent to (k-2)-concavity of the first derivative of the inverse utility function

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Year of publication:	2006
Authors:	Amir, Rabah ; Czupryna, Marcin
Publisher:	[S.l.] : SSRN
Subject:	Theorie \| Theory \| Nutzenfunktion \| Utility function \| Risikoaversion \| Risk aversion \| Risiko \| Risk

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