This paper investigates further the connection between the concept of risk-aversion and the property of concavity of the utility function of the agent. Improved specifications of the Jensen inequality are used for stating a number of local properties of certainty equivalents under milder regularity assumptions on the utility function than those made in literature. The paper concludes by illustrating a few applications of this theory.

Risk Aversion in the Small and Jensen Inequalities

TIBILETTI, Luisa
1993-01-01

Abstract

This paper investigates further the connection between the concept of risk-aversion and the property of concavity of the utility function of the agent. Improved specifications of the Jensen inequality are used for stating a number of local properties of certainty equivalents under milder regularity assumptions on the utility function than those made in literature. The paper concludes by illustrating a few applications of this theory.
1993
16(2)
21
37
http://www.springerlink.com/content/g15244n267n78405/
Montrucchio L.; Tibiletti L.
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/2318/115440
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