Search Results - subject:"Constant risk aversion"

Optimal auctions : non-expected utility and constant risk aversion

Gershkov, Alex; Moldovanu, Benny; Strack, Philipp; … - In: The review of economic studies : RES 89 (2022) 5, pp. 2630-2662

Persistent link: https://www.econbiz.de/10013400098

Mean-variance utility

Nakamura, Yutaka - In: Journal of economic theory 160 (2015), pp. 536-556

Persistent link: https://www.econbiz.de/10011549547

The Power Principle and Tail-Fatness Uncertainty

Gay, Roger - Department of Econometrics and Business Statistics, … - 2004

When insurance claims are governed by fat-tailed distributions, gross uncertainty about the value of the tail-fatness index is virtually inescapable. In this paper a new premium principle (the power principle) analogous to the exponential principle for thin-tailed claims, is discussed. Pareto...

Persistent link: https://www.econbiz.de/10005087613

Background risk in generalized expected utility theory

Quiggin, John - In: Economic Theory 22 (2003) 3, pp. 607-611

In this paper, it is shown that, for a wide range of risk-averse generalized expected utility preferences, independent risks are complementary, contrary to the results for expected utility preferences satisfying conditions such as proper and standard risk aversion. Copyright Springer-Verlag...

Persistent link: https://www.econbiz.de/10005371060

Dynamic Investment, Risk Aversion, and Foresight Sensitivity

Tesfatsion, Leigh S. - Department of Economics, Iowa State University - 1981

risk aversion, many dynamic investment studies have focused on the constant risk aversion case. This study considers a … general class of dynamic investment models in which agents are not restricted to have constant risk aversion. Existence …Since optimal investment strategies generally cannot be obtained in closed form when consumers exhibit non-constant …

Persistent link: https://www.econbiz.de/10004997753