2006
DOI: 10.1007/s00199-006-0189-0
|View full text |Cite
|
Sign up to set email alerts
|

Utility functions of equivalent form and the effect of parameter changes on optimum decision making

Abstract: Standard-Nutzungsbedingungen:Die Dokumente auf EconStor dürfen zu eigenen wissenschaftlichen Zwecken und zum Privatgebrauch gespeichert und kopiert werden.Sie dürfen die Dokumente nicht für öffentliche oder kommerzielle Zwecke vervielfältigen, öffentlich ausstellen, öffentlich zugänglich machen, vertreiben oder anderweitig nutzen.Sofern die Verfasser die Dokumente unter Open-Content-Lizenzen (insbesondere CC-Lizenzen) zur Verfügung gestellt haben sollten, gelten abweichend von diesen Nutzungsbedingungen die in… Show more

Help me understand this report

Search citation statements

Order By: Relevance

Paper Sections

Select...
1
1
1

Citation Types

0
4
0

Year Published

2010
2010
2015
2015

Publication Types

Select...
7

Relationship

4
3

Authors

Journals

citations
Cited by 11 publications
(4 citation statements)
references
References 20 publications
0
4
0
Order By: Relevance
“…Most of the literature makes use of the expected utility approach (see, for example, Wong, 1997;Freixas and Rochet, 2008;Broll et al, 2015). To characterize attitudes towards risk several concepts of risk aversion were introduced, such as prudence, standard risk aversion, risk vulnerability, temperance and shifts in first-order stochastic dominance (see Eeckhoudt et al, 1996Wagener, 2002Battermann et al, 2008;Chateauneuf and Lakhnati, 2015). However, the two-moment decision model which is based on the utility of the expected value and of the standard deviation of some uncertain monetary outcome offers an alternative technique to analyze investment decisions.…”
Section: Related Work and Contribution Of The Papermentioning
confidence: 99%
“…Most of the literature makes use of the expected utility approach (see, for example, Wong, 1997;Freixas and Rochet, 2008;Broll et al, 2015). To characterize attitudes towards risk several concepts of risk aversion were introduced, such as prudence, standard risk aversion, risk vulnerability, temperance and shifts in first-order stochastic dominance (see Eeckhoudt et al, 1996Wagener, 2002Battermann et al, 2008;Chateauneuf and Lakhnati, 2015). However, the two-moment decision model which is based on the utility of the expected value and of the standard deviation of some uncertain monetary outcome offers an alternative technique to analyze investment decisions.…”
Section: Related Work and Contribution Of The Papermentioning
confidence: 99%
“…Common preferences in the literature of Economics and Finance, for example CARA, DARA and CRRA (see, e.g., Battermann, Broll and Wahl, 2008), imply a positive prudence, i.e. U > 0.…”
Section: Proof (I) From Equationmentioning
confidence: 99%
“…The additive background risk can be interpreted as random initial wealth (see, e.g., Kihlstrom et al, 1981;Chavas, 1985;Wong, 1996;Battermann et al, 2008), whereas the multiplicative background risk can be interpreted as inflation risk (see, e.g., Adam-Müller, 2000. In either case, the background risk,Z, has zero mean and is independent of the output price risk,P .…”
Section: The Effect Of Background Risk On Firm Behaviormentioning
confidence: 99%