130223 - Local risk proneness in analytically approximated utility functions under.pdf (610.18 kB)
Local risk proneness in analytically approximated utility functions under monotonically decreasing preferences
journal contribution
posted on 2023-05-19, 23:56 authored by Nataliya NikolovaNataliya Nikolova, Mednikarov, B, Kiril TenekedjievKiril TenekedjievWe 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.
History
Publication title
Proceedings of the Bulgarian Academy of SciencesVolume
71Issue
11Pagination
1534-1543ISSN
2367-5535Department/School
Australian Maritime CollegePublisher
Akademichno Izdatelstvo Prof. Marin Drinov, Prof. Marin Drinov Academic Publishing HousePlace of publication
BulgariaRights statement
Copyright 2018 Comptes rendus de l'Académie bulgare des SciencesRepository Status
- Open