Decreasing absolute risk aversion: some clarification

Moez Abouda ()
Additional contact information
Moez Abouda: CES - Centre d'économie de la Sorbonne - UP1 - Université Paris 1 Panthéon-Sorbonne - CNRS - Centre National de la Recherche Scientifique, BESTMOD - ISG - Institut Supérieur de Gestion de Tunis [Tunis] - Université de Tunis

Post-Print from HAL

Abstract: 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.

Keywords: NARA; bid-selling spread; perfect hedging; risk premium; DARA; prime de risque; attirance par la couverture parfaite (search for similar items in EconPapers)
Date: 2008-03
Note: View the original document on HAL open archive server: https://shs.hal.science/halshs-00270648
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Published in 2008

Downloads: (external link)
https://shs.hal.science/halshs-00270648/document (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:halshs-00270648

Access Statistics for this paper

More papers in Post-Print from HAL
Bibliographic data for series maintained by CCSD ().