Expo‐Power Utility: A ‘Flexible’ Form for Absolute and Relative Risk Aversion
提出一种新的指数幂效用函数，能根据参数值呈现递减、恒定或递增的绝对风险厌恶以及递减或递增的相对风险厌恶，数值分析表明其能有效刻画风险偏好，避免任意设定导致的估计偏差。
Abstract A new utility function, which I call expo‐power, is proposed that exhibits decreasing, constant, or increasing absolute risk aversion and decreasing or increasing relative risk aversion, depending on parameter values. Numerical analysis suggests that the expo‐power function performs well in incorporating these risk preference structures, and that arbitrary risk preference specifications may lead to biased risk response estimates.