A Generalization of Pratt-Arrow Measure to Nonexpected-Utility Preferences and Inseparable Probability and Utility

A Generalization of Pratt-Arrow Measure to Nonexpected-Utility Preferences and Inseparable Probability and Utility

The Pratt-Arrow measure of local risk aversion is generalized for the n-dimensional state-preference model of choice under uncertainty in which the decision maker may have inseparable subjective probabilities and utilities, unobservable stochastic prior wealth, and/or smooth nonexpected-utility pref...

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Veröffentlicht in:Management Science. - Institute for Operations Research and the Management Sciences, 1954. - 49(2003), 8, Seite 1089-1104
1. Verfasser: Nau, Robert F. (VerfasserIn)
Format: Online-Aufsatz
Sprache:English
Veröffentlicht: 2003
Zugriff auf das übergeordnete Werk:Management Science
Schlagworte:Criteria for Decision Making under Risk and Uncertainty Risk Aversion Uncertainty Aversion Expected-Utility Theory Nonexpected-Utility Smooth Preferences Economics Business
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520 |a The Pratt-Arrow measure of local risk aversion is generalized for the n-dimensional state-preference model of choice under uncertainty in which the decision maker may have inseparable subjective probabilities and utilities, unobservable stochastic prior wealth, and/or smooth nonexpected-utility preferences. Local risk aversion is measured by the matrix of derivatives of the decision maker's risk-neutral probabilities, without reference to true subjective probabilities or riskless wealth positions, and comparative risk aversion is measured without requiring agreement on true probabilities. Risk-neutral probabilities and their derivatives are shown to be sufficient statistics for approximately optimal investment and financing decisions in complete markets for contingent claims. 
540 |a Copyright 2003 INFORMS 
650 4 |a Criteria for Decision Making under Risk and Uncertainty 
650 4 |a Risk Aversion 
650 4 |a Uncertainty Aversion 
650 4 |a Expected-Utility Theory 
650 4 |a Nonexpected-Utility 
650 4 |a Smooth Preferences 
650 4 |a Economics  |x Economic disciplines  |x Financial economics  |x Finance  |x Financial analysis  |x Risk management  |x Risk aversion 
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650 4 |a Economics  |x Economic disciplines  |x Financial economics  |x Finance  |x Financial analysis  |x Risk management  |x Risk preferences  |x Risk aversion preference 
650 4 |a Economics  |x Microeconomics  |x Economic utility  |x Utility functions 
650 4 |a Economics  |x Microeconomics  |x Economic utility  |x Utility functions  |x Indifference curves 
650 4 |a Business  |x Business operations  |x Commerce  |x Pricing  |x Prices  |x Market prices 
650 4 |a Economics  |x Economic disciplines  |x Financial economics  |x Finance  |x Financial management  |x Financial risk 
650 4 |a Economics  |x Economic disciplines  |x Financial economics  |x Financial markets  |x Market conditions  |x Economic uncertainty 
650 4 |a Economics  |x Economic disciplines  |x Financial economics  |x Finance  |x Financial management  |x Financial risk  |x Investment risk 
655 4 |a research-article 
773 0 8 |i Enthalten in  |t Management Science  |d Institute for Operations Research and the Management Sciences, 1954  |g 49(2003), 8, Seite 1089-1104  |w (DE-627)320623602  |w (DE-600)2023019-9  |x 15265501  |7 nnns 
773 1 8 |g volume:49  |g year:2003  |g number:8  |g pages:1089-1104 
856 4 0 |u https://www.jstor.org/stable/4133938  |3 Volltext 
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952 |d 49  |j 2003  |e 8  |h 1089-1104