Risk Preference under Stochastic Environment
We introduce a quantity describing the risk preference of the optimal decision problem under random environment, which extends the ArrowPratt coefficient of relative risk aversion for the utility function. We show the existence of wellbehaved solutions to the evolution equation of the quantity.
riskpreference Arrow-Prattcoefficientofthe relative risk aversion optimal decision evolution equation existence
Naoyuki ISHIMURA MasaAki NAKAMURA
Graduate School of EconomicsHitotsubashi UniversityKunitachi, Tokyo 186-8601, Japan College of Science and Technology Nihon University Kanda-Surugadai, Tokyo 101-8308, Japan
国际会议
广州
英文
1-3
2011-05-13(万方平台首次上网日期,不代表论文的发表时间)