绝对风险态度的通用指数

A General Index of Absolute Risk Attitude

Management Science · 2010
被引 34
人大 A+FT50UTD24ABS 4*

中文导读

利用弗里德曼-萨维奇效用溢价表示,为绝对风险厌恶、谨慎和节制等系数及其高阶扩展提供了通用基础,对研究风险决策的经济学者有参考价值。

Abstract

Many results involving expected utility theory call upon the notions of absolute risk aversion, prudence, and/or temperance. This paper exploits a representation of the Friedman–Savage utility premium (Friedman, M., L. J. Savage. 1948. The utility analysis of choices involving risk. J. Political Econom. 56(4) 279–304) to give a general foundation for such coefficients and for their higher-order extensions.

绝对风险态度风险厌恶谨慎节制高阶风险态度