Risk aversion, prudence and mixed optimal saving models

Irina Georgescu

Kybernetika (2014)

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

Abstract

top
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

top

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

top
  1. Arrow, K. J., Essays in the theory of risk bearing., North-Holland, Amsterdam 1970. Zbl0215.58602MR0363427
  2. Carlsson, C., Fullér, R., On possibilistic mean value and variance of fuzzy numbers., Fuzzy Sets Syst. 122 (2001), 315-326. Zbl1016.94047MR1854821
  3. Carlsson, C., Fullér, R., Possibility for Decision., Springer 2011. Zbl1227.91002MR2828468
  4. Courbage, C., Rey, B., 10.1007/s00199-006-0178-3, Econom. Theory 32 (2007), 417-424. Zbl1159.91418MR2308938DOI10.1007/s00199-006-0178-3
  5. Courbage, C., Rey, B., On the shape of non-monetary measures in the face of risk., In: The 36th Seminar of the European Group of Risk and Insurance Economists (EGRIE), Bergen 2009. 
  6. Crainich, D., Eeckhoudt, L., 10.1007/s11166-008-9037-x, J. Risk Uncertainty 36 (2008), 267-276. Zbl1151.91428DOI10.1007/s11166-008-9037-x
  7. Dubois, D., Prade, H., Fuzzy Sets and Systems: Theory and Applications., Academic Press, New York 1980. Zbl0444.94049MR0589341
  8. Dubois, D., Prade, H., Possibility Theory., Plenum Press, New York 1988. Zbl1272.03015MR1104217
  9. Duncan, G. T., 10.2307/1912680, Econometrica 45 (1977), 895-903. Zbl0367.90017MR0496493DOI10.2307/1912680
  10. Eeckhoudt, L., Schlesinger, H., 10.1257/000282806776157777, Amer. Econom. Rev. 96 (2006), 280-289. DOI10.1257/000282806776157777
  11. Eeckhoudt, L., Gollier., C., Schlesinger, H., Economic and Financial Decisions under Risk., Princeton University Press, 2005. 
  12. Friedman, M., Savage, L., 10.1086/256692, J. Polit. Econom. 56 (1948), 279-304. DOI10.1086/256692
  13. Fullér, R., Majlender, P., On weighted possibilistic mean and variance of fuzzy numbers., Fuzzy Sets Syst. 136 (2003), 363-374. Zbl1022.94032MR1984582
  14. Georgescu, I., Possibilistic risk aversion., Fuzzy Sets Syst. 60 (2009), 2608-2619. Zbl1269.91031MR2589107
  15. Georgescu, I., 10.1007/s00500-010-0634-7, Soft Comput. 15 (2011), 795-801. Zbl1243.91026DOI10.1007/s00500-010-0634-7
  16. Georgescu, I., Kinnunen, J., Multidimensional risk aversion with mixed parameters., In: The 6th IEEE International Symposium on Applied Computational Intelligence and Informatics (SACI 2011), Timisoara 2011, pp. 63-68. 
  17. Gollier, C., The Economics of Risk and Time., MIT Press, 2004. Zbl0991.91001
  18. Hellwig, M., Risk aversion in the small and in the large when outcomes are multidimensional., Preprints of the Max Planck Institute for Research on Collective Goods, Bonn 2006. MR1859482
  19. Jouini, E., Napp, C., Nocetti, D., 10.1016/j.jet.2012.10.007, J. Econom. Theory. 148 (2013), 1255-1267. Zbl1285.91043MR3055661DOI10.1016/j.jet.2012.10.007
  20. Karni, E., 10.2307/1914007, Econometrica 47 (1979), 1391-1401. Zbl0431.90013MR0550940DOI10.2307/1914007
  21. Kimball, M., 10.2307/2938334, Econometrica 58 (1990), 58-73. MR1046919DOI10.2307/2938334
  22. Leland, H. E., 10.2307/1879518, Quarterly J. Econom. 82 (1968), 465-473. DOI10.2307/1879518
  23. Menegatti, M., Optimal saving saving in the presence of two risks., J. Econom. 96 (2009), 277-288. 
  24. Menezes, C., Geiss, C., Tressler, J., Increasing downside risk., Amer. Econom. Rev. 70 (1980), 921-932. 
  25. Niculescu, C. P., Perrson, L. E., Convex Functions and their Applications: A Contemporary Approach., Springer, 2005. MR2178902
  26. Pratt, J., 10.2307/1913738, Econometrica 32 (1964), 122-130. Zbl0267.90010DOI10.2307/1913738
  27. Sandmo, A., 10.2307/2296725, Rev. Econom. Studies 37 (1970), 353-360. DOI10.2307/2296725
  28. Zadeh, L. A., Fuzzy sets as a basis for a theory of possibility., Fuzzy Sets Syst. 1 (1978), 3-28. Zbl0377.04002MR0480045
  29. Zhang, W. G., Wang, Y. L., A comparative study of possibilistic variances and covariances of fuzzy numbers., Fund. Inform. 79 (2007), 257-263. MR2346245

NotesEmbed ?

top

You must be logged in to post comments.