Expected utility, μ-σ preferences, and linear distribution classes: A further result View Full Text


Ontology type: schema:ScholarlyArticle     


Article Info

DATE

1990-09

AUTHORS

Hans-Werner Sinn

ABSTRACT

This article is an extension of Meyer and Sinn's results on the representation of arbitrary von Neumann-Morgenstern functions in μ-σ space when the probability distributions to be compared belong to a linear distribution class. It shows that, when absolute risk aversion decreases, stays constant, or increases not too fast, an increase in σ, given μ, increases the indifference curve slope: increased riskiness increases the required marginal compensation for risk when risk is measured by the standard deviation of wealth or income. More... »

PAGES

277-281

Identifiers

URI

http://scigraph.springernature.com/pub.10.1007/bf00116785

DOI

http://dx.doi.org/10.1007/bf00116785

DIMENSIONS

https://app.dimensions.ai/details/publication/pub.1010476177


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