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More on parametric characterizations of risk aversion and prudence

Thomas Eichner and Andreas Wagener

Economic Theory, 2003, vol. 21, issue 4, 895-900

Abstract: This note provides an alternative proof for the equivalence of decreasing absolute prudence (DAP) in the expected utility framework and in a two-parametric approach where utility is a function of the mean and the standard deviation. In addition, we elucidate that the equivalence of DAP and the concavity of utility as a function of mean and variance, which was shown to hold for normally distributed stochastics in Lajeri and Nielsen [4], cannot be generalized. Copyright Springer-Verlag Berlin Heidelberg 2003

Keywords: Keywords and Phrases: Risk aversion; Prudence.; JEL Classification Numbers: D81. (search for similar items in EconPapers)
Date: 2003
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DOI: 10.1007/s00199-001-0247-6

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