Work

Decreasing absolute risk aversion: some clarification

Year: 2008

Type: preprint

Abstract: La Vallée (1968), in the expected utility model, gives a sufficient condition for positivity of the bid-selling spread. In this article, we show that this sufficient condition, namely decreasing absolute risk aversion (DARA) is in fact necessary. Moreover, we prove that the expected utility hypothesis and differentiability of the utility function are not required.

Source: RePEc: Research Papers in Economics

Author: Moez Abouda

Language: English

Topic: Decision-Making and Behavioral Economics

Subfield: General Decision Sciences

Field: Decision Sciences

Domain: Social Sciences

Open Access status: green

OpenAlex ID: W1571885137

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Cited by: 2

Related to: 10