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Local risk proneness in analytically approximated utility functions under monotonically decreasing preferences

Citation

Nikolova, N and Mednikarov, B and Tenekedjiev, K, Local risk proneness in analytically approximated utility functions under monotonically decreasing preferences, Proceedings of the Bulgarian Academy of Sciences, 71, (11) pp. 1534-1543. ISSN 2367-5535 (2018) [Refereed Article]


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Official URL: http://www.proceedings.bas.bg/

DOI: doi:10.7546/CRABS.2018.11.13

Abstract

We discuss an analytical arctan form to approximate decreasing utilities based on several nodes of its graphics elicited in interval form. We demonstrate the process on two types of nodes originating from different subjective elicitation approaches. Our focus is also on the local risk attitude estimator, which in the case of decreasing preferences gets interpreted as local risk proneness vs the local risk aversion for increasing preferences.

Item Details

Item Type:Refereed Article
Keywords:von Neumann-Morgenstern utility, subjective elicitation, risk attitude
Research Division:Information and Computing Sciences
Research Group:Artificial Intelligence and Image Processing
Research Field:Simulation and Modelling
Objective Division:Expanding Knowledge
Objective Group:Expanding Knowledge
Objective Field:Expanding Knowledge in the Information and Computing Sciences
UTAS Author:Nikolova, N (Professor Nataliya Nikolova)
UTAS Author:Tenekedjiev, K (Professor Kiril Tenekedjiev)
ID Code:130223
Year Published:2018
Web of Science® Times Cited:1
Deposited By:Maritime and Logistics Management
Deposited On:2019-01-16
Last Modified:2019-02-05
Downloads:0

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