Denuit, Michel; Eeckhoudt, Louis; Menegatti, Mario - Center for Operations Research and Econometrics … - 2009
solution of the equation
u(1,0)0 (x0 −a,h0) = E[u(1,0)1 (X + a,H)] (2.1)
where u(k1,k2)t denotes the (k1,k2)th cross derivative …(1,0)0 (x0 −a,h0) = E[u(0,1)1 (X,H + a)]. (2.2)
As for (2.1), we denote as astar the solution of (2.2).
In these two …,H), respectively.
Proof. To establish that the inequality astar1 ≥ astar2 indeed holds, we need to prove that
E[u(1,0)1 (X1 + a,H1)] ≥E[u …