A General Index of Absolute Risk Attitude

Many results involving expected utility theory call upon the notions of absolute risk aversion, prudence, and/or temperance. This paper exploits a representation of the Friedman–Savage utility premium (Friedman, M., L. J. Savage. 1948. The utility analysis of choices involving risk. J. Political Econom. 56(4) 279–304) to give a general foundation for such coefficients and for their higher-order extensions.

• 저널Management Science · 56(4) · 712–715
• 토픽Decision-Making and Behavioral Economics · General Decision Sciences
• DOI10.1287/mnsc.1090.1134
• 저자Michel Denuit, Louis Eeckhoudt