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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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Copyright Statement
Copyright 2018 Comptes rendus de l'Académie bulgare des Sciences
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 |
| Research Field: | Modelling and simulation |
| 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: | 2019-03-15 |
| Downloads: | 131 View Download Statistics |
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