On the risk-aversion comparability of state-dependent utility functions (Q1073709)
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scientific article; zbMATH DE number 3945825
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | On the risk-aversion comparability of state-dependent utility functions |
scientific article; zbMATH DE number 3945825 |
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On the risk-aversion comparability of state-dependent utility functions (English)
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1985
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This paper proposes a criterion for the partial ordering of state- dependent utility functions according to risk attitude. It is proved that if two or more state-dependent utility functions satisfy a global condition on cross-state marginal utilities on the set of sure wealths, then they can be compared by means of Arrow-Pratt measures of risk aversion. This criterion is contrasted with that proposed by \textit{E. Karni} [Int. Econ. Rev. 24, 637-647 (1983; Zbl 0524.90010)].
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partial ordering of state-dependent utility functions
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Arrow-Pratt measures of risk aversion
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