Risk aversion for nonsmooth utility functions
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Publication:553517
DOI10.1016/j.jmateco.2010.10.003zbMath1221.91028OpenAlexW2071478434MaRDI QIDQ553517
Andreas Würth, Johannes M. Schumacher
Publication date: 27 July 2011
Published in: Journal of Mathematical Economics (Search for Journal in Brave)
Full work available at URL: https://research.tilburguniversity.edu/en/publications/d948cfad-5e83-46ce-ae72-6239a2975baa
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Cites Work
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- Maximal monotone relations and the second derivatives of nonsmooth functions
- Monotone risk aversion
- Dual formulation of the utility maximization problem: the case of nonsmooth utility.
- First-order risk aversion and non-differentiability
- "Expected Utility" Analysis without the Independence Axiom
- Probability with Martingales
- Risk Aversion in the Small and in the Large
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