A Characterization of the Symmetrical Monotone Risk Aversion in the RDEU Model
M. Abouda and
Alain Chateauneuf ()
Papiers d'Economie MathÃ©matique et Applications from UniversitÃ© PanthÃ©on-Sorbonne (Paris 1)
In a previous paper, Abouda and Chateauneuf proved that for RDEU maximizing MM with non-increasing marginal utility, positivity of the bid-ask spread can be identified with a very weak form of risk aversion SMRA. We perform here a more thorough study of SMRA, firstly in a general setting, and secondly in connection with the general RDEU model.
Keywords: RISK; MARKET; MODELS (search for similar items in EconPapers)
JEL-codes: D61 D63 D80 D81 G12 (search for similar items in EconPapers)
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Journal Article: Characterization of symmetrical monotone risk aversion in the RDEU model (2002)
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Persistent link: https://EconPapers.repec.org/RePEc:fth:pariem:1999.87
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