Huang, James and Stapleton, Richard (2015) The utility premium of Friedman and Savage, comparative risk aversion, and comparative prudence. Economics Letters, 134. pp. 34-36. ISSN 0165-1765
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Abstract
We show that the utility premium of Friedman and Savage can be used to explain comparative risk aversion and comparative prudence. More precisely, we show that the greater the risk aversion measure, the greater a risk's utility premium normalized by the marginal utility and that the greater the prudence measure, the greater the utility premium for disaggregating a certain loss of wealth and a zero-mean risk normalized by the utility function's second derivative.
Item Type:
Journal Article
Journal or Publication Title:
Economics Letters
Additional Information:
18 month embargo This is the author’s version of a work that was accepted for publication in Economics Letters. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. Changes may have been made to this work since it was submitted for publication. A definitive version was subsequently published in Economics Letters, 134, 2015 DOI: 10.1016/j.econlet.2015.06.004
Uncontrolled Keywords:
/dk/atira/pure/subjectarea/asjc/2000/2003
Subjects:
?? utility premiumcomparative risk aversioncomparativefinanceeconomics and econometricsd81 ??
Departments:
ID Code:
74794
Deposited By:
Deposited On:
30 Jul 2015 15:16
Refereed?:
Yes
Published?:
Published
Last Modified:
10 Oct 2024 00:04