Utility function for monetary gains (and losses) satisfying Friedman-Savage hypothesis
Utility function for monetary gains (and losses) satisfying Friedman-Savage hypothesis
Author(s): Somdeb LahiriSubject(s): Economy
Published by: ASERS Publishing
Keywords: Freidman and Savage hypothesis;
Summary/Abstract: In this note we provide a closed form utility function for gains that is S-shaped around the origin and satisfies the Friedman-Savage hypothesis. We obtain the corresponding Arrow{Pratt measure of absolute risk aversion (ARA) as well as Arrow{Pratt measure of relative risk aversion (RRA) for it.
Journal: Journal of Mathematical Economics and Finance
- Issue Year: VIII/2022
- Issue No: 1(14)
- Page Range: 23-30
- Page Count: 8
- Language: English
- Content File-PDF