Risk aversion, prudence and mixed optimal saving models

Irina Georgescu

Kybernetika (2014)

  • Volume: 50, Issue: 5, page 706-724
  • ISSN: 0023-5954

Abstract

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The paper studies risk aversion and prudence of an agent in the face of a risk situation with two parameters, one described by a fuzzy number, the other described by a fuzzy variable. The first contribution of the paper is the characterization of risk aversion and prudence in mixed models by conditions on the concavity and the convexity of the agent's utility function and its partial derivatives. The second contribution is the building of mixed models of optimal saving and their connection with the concept of prudence and downside risk aversion.

How to cite

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Georgescu, Irina. "Risk aversion, prudence and mixed optimal saving models." Kybernetika 50.5 (2014): 706-724. <http://eudml.org/doc/262176>.

@article{Georgescu2014,
abstract = {The paper studies risk aversion and prudence of an agent in the face of a risk situation with two parameters, one described by a fuzzy number, the other described by a fuzzy variable. The first contribution of the paper is the characterization of risk aversion and prudence in mixed models by conditions on the concavity and the convexity of the agent's utility function and its partial derivatives. The second contribution is the building of mixed models of optimal saving and their connection with the concept of prudence and downside risk aversion.},
author = {Georgescu, Irina},
journal = {Kybernetika},
keywords = {possibilistic risk aversion; prudence; optimal saving; possibilistic risk aversion; prudence; optimal saving},
language = {eng},
number = {5},
pages = {706-724},
publisher = {Institute of Information Theory and Automation AS CR},
title = {Risk aversion, prudence and mixed optimal saving models},
url = {http://eudml.org/doc/262176},
volume = {50},
year = {2014},
}

TY - JOUR
AU - Georgescu, Irina
TI - Risk aversion, prudence and mixed optimal saving models
JO - Kybernetika
PY - 2014
PB - Institute of Information Theory and Automation AS CR
VL - 50
IS - 5
SP - 706
EP - 724
AB - The paper studies risk aversion and prudence of an agent in the face of a risk situation with two parameters, one described by a fuzzy number, the other described by a fuzzy variable. The first contribution of the paper is the characterization of risk aversion and prudence in mixed models by conditions on the concavity and the convexity of the agent's utility function and its partial derivatives. The second contribution is the building of mixed models of optimal saving and their connection with the concept of prudence and downside risk aversion.
LA - eng
KW - possibilistic risk aversion; prudence; optimal saving; possibilistic risk aversion; prudence; optimal saving
UR - http://eudml.org/doc/262176
ER -

References

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