Generalised Means of Simple Utility Functions with Risk Aversion

Denis Conniffe

The Economic and Social Review, 2008, vol. 39, issue 1, 1-12

Abstract: The paper examines the properties of a generalised mean of simple utilities each displaying risk aversion, that is, with first derivative positive and second derivative negative. It shows the mean is itself a valid utility function and argues that simple component utilities, each of which may have quite restricted risk aversion properties, can be parsimoniously combined through the generalised mean formula to give a much more versatile utility function.

Date: 2008
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http://www.esr.ie/Vol39_1/01%20Conniffe.pdf First version, 2008 (application/pdf)

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Working Paper: Generalised Means of Simple Utility Functions with Risk Aversion (2007)
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