Compatibility of expected utility and \(\mu /\sigma\) approaches to risk for a class of non location-scale distributions

DOI10.1007/S00199-007-0244-5zbMath1147.91014OpenAlexW2082191140MaRDI QIDQ926217

Gerry Boyle, Denis Conniffe

Publication date: 26 May 2008

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

Full work available at URL: https://doi.org/10.1007/s00199-007-0244-5

zbMATH Keywords

Expected utilityLocation-scale distributionsMean variance analysis

Mathematics Subject Classification ID

Utility theory (91B16)

Related Items (3)

Is there a plausible theory for decision under risk? A dual calibration critique ⋮ COMPARING THE SMALL-SAMPLE ESTIMATION ERROR OF CONCEPTUALLY DIFFERENT RISK MEASURES ⋮ Optimal insurance contract with stochastic background wealth

Cites Work

• Measures of risk attitude: correspondences between mean-variance and expected-utility approaches
• Repetitive risk aversion
• More on parametric characterizations of risk aversion and prudence
• Parametric characterizations of risk aversion and prudence
• Proper Risk Aversion
• One-Switch Utility Functions and a Measure of Risk
• A Note on Feldstein's Criticism of Mean-Variance Analysis
• Standard Risk Aversion
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