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Utility functions whose parameters depend on initial wealth

Authors :
Pedersen, Christian S.
Satchell, S. E.
Source :
Bulletin of Economic Research. Oct, 2003, Vol. 55 Issue 4, p357, 15 p.
Publication Year :
2003

Abstract

The article examines a new form of utility function that has parameters dependent on initial wealth, unlike conventional utility functions that rely on definitions of final wealth. Discussion includes exponential and quadratic utility functions with robust risky assets and decreasing risk aversion.

Details

Language :
English
ISSN :
03073378
Volume :
55
Issue :
4
Database :
Gale General OneFile
Journal :
Bulletin of Economic Research
Publication Type :
Academic Journal
Accession number :
edsgcl.108681185