On closure properties of some risk aversion measures
 
 
Description:  Increasing risk aversion (IRRA) is a common assumption in economics, but this property often is difficult to verify. In this talk, we provide alternative characterizations of IRRA utility functions in terms of increasing absolute risk aversion (IARA) utility functions. We also present some closure properties (closure with respect scaling, shifting and raising to a power) of IRRA (DRRA) and IARA (DARA) utilities.
Date:  2013-12-17
Start Time:   14:30
Speaker:  Nuria Torrado-Robles (CMUC, Univ. Coimbra)
Institution:  CMUC, Univ. Coimbra
Place:  Sala 5.5
Research Groups: -Probability and Statistics
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