First-order risk aversion and non-differentiability

DOI10.1007/BF01213452zbMath0866.90007OpenAlexW1979812670MaRDI QIDQ2365077

Avia Spivak, Uzi Segal

Publication date: 20 July 1997

Published in: Economic Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/bf01213452

zbMATH Keywords

non-differentiabilityfirst-order risk aversionlocal utility functions

Mathematics Subject Classification ID

Decision theory (91B06) Utility theory (91B16)

Related Items (7)

Observing different orders of risk aversion ⋮ Anchored preference relations ⋮ Option price without expected utility ⋮ When can expected utility handle first-order risk aversion? ⋮ On the economic meaning of Machina's Fréchet differentiability assumption ⋮ Risk aversion for nonsmooth utility functions ⋮ Intertemporal asset pricing and the marginal utility of wealth

Cites Work

• First order versus second order risk aversion
• The risk aversion measure without the independence axiom
• Differentiability, comparative statics, and non-expected utility preference
• Observing different orders of risk aversion
• Comparative statics and non-expected utility preferences
• "Expected Utility" Analysis without the Independence Axiom
• A Theory of Disappointment Aversion
• Risk Aversion in the Small and in the Large

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