First-order risk aversion and non-differentiability

DOI10.1007/BF01213452MaRDI QIDQ2365077zbMATH OpenOpenAlexFDO

Authors Uzi Segal, Avia Spivak

Publication date 20 July 1997

Published in Economic Theory (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/bf01213452

zbMATH Keywords

first-order risk aversionnon-differentiabilitylocal utility functions

Mathematics Subject Classification ID

Decision theory (91B06) Utility theory (91B16)

Recommendations

• First order versus second order risk aversion
• Risk aversion for nonsmooth utility functions
• Observing different orders of risk aversion

Cites work

• "Expected Utility" Analysis without the Independence Axiom
• A Theory of Disappointment Aversion
• Comparative statics and non-expected utility preferences
• Differentiability, comparative statics, and non-expected utility preference
• First order versus second order risk aversion
• Observing different orders of risk aversion
• Risk Aversion in the Small and in the Large
• The risk aversion measure without the independence axiom

Cited in

(8)

• Risk aversion for nonsmooth utility functions
• When can expected utility handle first-order risk aversion?
• On the economic meaning of Machina's Fréchet differentiability assumption
• Anchored preference relations
• First order versus second order risk aversion
• Observing different orders of risk aversion
• Intertemporal asset pricing and the marginal utility of wealth
• Option price without expected utility

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