ISSN:
1573-0476
Schlagwort(e):
μ-σ criterion
;
von Neumann-Morgenstern utility
;
linear distribution class
;
location and scale parameter family
Quelle:
Springer Online Journal Archives 1860-2000
Thema:
Wirtschaftswissenschaften
Notizen:
Abstract This article is an extension of Meyer and Sinn's results on the representation of arbitrary von Neumann-Morgenstern functions in μ-σ space when the probability distributions to be compared belong to a linear distribution class. It shows that, when absolute risk aversion decreases, stays constant, or increases not too fast, an increase in σ, given μ, increases the indifference curve slope: increased riskiness increases the required marginal compensation for risk when risk is measured by the standard deviation of wealth or income.
Materialart:
Digitale Medien
URL:
http://dx.doi.org/10.1007/BF00116785
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