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Universität Siegen

Fachbereich Wirtschaftswissenschaften, Wirtschaftsinformatik und Wirtschaftsrecht

Volkswirtschaftliche Diskussionsbeiträge


Thomas Eichner und Andreas Wagener

More on Parametric Characterizations of Risk Aversion and Prudence


This note provides an alternative proof for the equivalence of decreasing absolute prudence (DAP)in the expected utility framework and in a two-parametric approach where utility is a function of the mean and the standard deviation. In addition, we elucidate that the equivalence of DAP and the concavity of utility as a function of mean and variance, which was shown to hold for normally distributed stochastics in Lajeri and Nielsen [Economic Theory 15 (2000), 469-476], cannot be generalized.

 

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