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Expected utility, μ-σ preferences, and linear distribution classes: A further result (1990)

Sinn, Hans-Werner

Springer

Journal of risk and uncertainty 3 (1990), S. 277-281

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ISSN: 1573-0476

Keywords: μ-σ criterion ; von Neumann-Morgenstern utility ; linear distribution class ; location and scale parameter family

Source: Springer Online Journal Archives 1860-2000

Topics: Economics

Notes: 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.

Type of Medium: Electronic Resource

URL: http://dx.doi.org/10.1007/BF00116785

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