| Authors |
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| Document type |
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Document de travail (Working Paper) |
| Abstract |
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We prove that the coefficient of absolute prudence is greater than k - times coefficient of absolute risk aversion for the utility function if and only if the coefficient of absolute prudence is (3-k) times the coefficient of absolute risk aversion for the inverse utility function. Moreover this is also equivalent to (k-2)-concavity of the first derivative of the inverse utility function. |
| Access type |
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Accès libre
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| Publication date |
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2004 |
| Collection |
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ECON Discussion Papers - 2004/74, CORE Discussion Papers - 2004/45 |
| Affiliation |
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UCL
- CORE - Center for Operations Research and Econometrics
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| Keywords |
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Absolute prudence ; Absolute risk aversion ; Inverse utility function
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| Links |
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