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Toward a Systematic Approach to the Economic Effects of Risk: Characterizing Utility Functions

机译:寻求系统的风险经济效应方法:表征效用函数

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The diffidence theorem, together with complementary tools, can aid in illuminating a broad set of questions about how to mathematically characterize the set of utility functions with specified economic properties. This article establishes the technique and illustrates its application to many questions, old and new. For example, among many other older and other technically more difficult results, it is shown that (1) several implications of globally greater risk aversion depend on distinct mathematical properties when the initial wealth level is known, (2) whether opening up a new asset market increases or decreases saving depends on whether the reciprocal of marginal utility is concave or convex, and (3) whether opening up a new asset market raises or lowers risk aversion toward small independent risks depends on whether absolute risk aversion is convex or concave.
机译:差异定理与补充工具一起可以帮助阐明有关如何数学地表征具有特定经济属性的效用函数集的广泛问题。本文建立了该技术,并说明了该技术在许多新旧问题上的应用。例如,在许多其他较旧的结果以及其他技术上较困难的结果中,结果表明:(1)已知初始财富水平时,全球更大的风险规避的若干含义取决于不同的数学属性;(2)是否开放新资产市场增加或减少储蓄取决于边际效用的倒数是凹的还是凸的;(3)开放新资产市场是提高还是降低了对小独立风险的厌恶,取决于绝对风险的厌恶是凸的还是凹的。

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