Risk aversion for nonsmooth utility functions

DOI10.1016/J.JMATECO.2010.10.003zbMATH Open1221.91028OpenAlexW2071478434MaRDI QIDQ553517FDOQ553517

Authors: Andreas Würth, Johannes M. Schumacher 

Publication date: 27 July 2011

Published in: Journal of Mathematical Economics (Search for Journal in Brave)

Full work available at URL: https://research.tilburguniversity.edu/en/publications/d948cfad-5e83-46ce-ae72-6239a2975baa

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zbMATH Keywords

risk aversionutility functionnonsmooth utility

Mathematics Subject Classification ID

Utility theory (91B16)

Cites Work

• Title not available (Why is that?)
• "Expected Utility" Analysis without the Independence Axiom
• Modeling, measuring and managing risk
• Probability with Martingales
• Microeconomic theory
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• Risk Aversion in the Small and in the Large
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• Dual formulation of the utility maximization problem: the case of nonsmooth utility.
• First-order risk aversion and non-differentiability
• Maximal monotone relations and the second derivatives of nonsmooth functions
• Monotone risk aversion

Cited In (15)

• Monotone Risk Aversion
• Comment on ``Modeling non-monotone risk aversion using SAHARA utility functions
• A nonsmooth approach to nonexpected utility theory under risk
• Modeling non-monotone risk aversion using SAHARA utility functions
• Linear versus nonlinear allocation rules in risk sharing under financial fairness
• Supermodularity and risk aversion
• Ex-ante estate division under strong Pareto efficiency
• A method for determining risk aversion functions from uncertain market prices of risk
• A Schur concave characterization of risk aversion for non-expected utility preferences
• Risk aversion in the small and Jensen inequalities
• Monotone risk aversion
• Local utility and multivariate risk aversion
• Risk averse submodular utility maximization
• Expected utility operators and possibilistic risk aversion
• Willingness to pay for risk reduction and risk aversion without the expected utility assumption

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