New results on high-order risk changes

Mario Menegatti

European Journal of Operational Research, 2015, vol. 243, issue 2, 678-681

Abstract: This note extends the results on the first four derivatives of the utility function by Menegatti (Eur. J. Oper. Res. 232 (2014) 613–617) to the case of high-order derivatives. We show that, under usual assumptions, if the generic derivative of the utility function of order n is sign invariant then all the derivatives from order n to order 2 alternate in sign. We then focus on the case where the derivative of the utility function of order n is either positive when n is odd or negative when n is even, and we show the implications of this result for high-order risk changes and for saving decisions.

Keywords: Utility theory; Risk; nth-Order risk change; nth-Order derivatives , (search for similar items in EconPapers)
Date: 2015
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Citations: View citations in EconPapers (15)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ejores:v:243:y:2015:i:2:p:678-681

DOI: 10.1016/j.ejor.2014.12.023

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