On inverse utility and third-order effects in the economics of uncertainty

Rabah Amir () and Marcin Czupryna

No 2004045, LIDAM Discussion Papers CORE from Université catholique de Louvain, Center for Operations Research and Econometrics (CORE)

Abstract: We prove that the coefficient of absolute prudence is greater than k - times coefficient of absolute risk aversion for the utility function if and only if the coefficient of absolute prudence is (3-k) times the coefficient of absolute risk aversion for the inverse utility function. Moreover this is also equivalent to (k-2)-concavity of the first derivative of the inverse utility function.

Keywords: absolute prudence; absolute risk aversion; inverse utility function (search for similar items in EconPapers)
JEL-codes: D80 D81 (search for similar items in EconPapers)
Date: 2004-06
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Citations: View citations in EconPapers (1)

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