Magnus, Jan R.; Ikefuji, M.; Laeven, R.J.A.; Muris, C.H.M. - Tilburg University, Center for Economic Research - 2010
This note proposes the Burr utility function. Burr utility is a flexible two-parameter family that behaves approximately power-like (CRRA) remote from the origin, while exhibiting exponential-like (CARA) features near the origin. It thus avoids the extreme behavior of the power family near the...
