Risk aversion for nonsmooth utility functions

DOI10.1016/J.JMATECO.2010.10.003MaRDI QIDQ553517zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

risk aversionutility functionnonsmooth utility

Mathematics Subject Classification ID

Utility theory (91B16)

Recommendations

• Monotone Risk Aversion
• Monotone risk aversion
• Measures of risk aversion with expected and nonexpected utility
• Risk aversion in the theory of expected utility with rank dependent probabilities
• A nonsmooth approach to nonexpected utility theory under risk

Cites work

• scientific article; zbMATH DE number 4091139 (Why is no real title available?)
• scientific article; zbMATH DE number 2174800 (Why is no real title available?)
• scientific article; zbMATH DE number 3365044 (Why is no real title available?)
• "Expected Utility" Analysis without the Independence Axiom
• 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
• Microeconomic theory
• Modeling, measuring and managing risk
• Monotone risk aversion
• Probability with Martingales
• Risk Aversion in the Small and in the Large

Cited in

(15)

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

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