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Risk Averse Utility Functions

  • Götz Uebe
Conference paper

Abstract

In a most recent paper Cox and Huang describe a class of strictly concave and differentiable utility functions by two asymptotic concepts: regular variation at infinity, asymptotic constancy of relative risk aversion, and a norm of loglinear closeness. By generalization and by direct analysis of the underlying second order nonlinear differential equation two constructive schemes for the generation of appropriate utility functions are outlined.

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References

  1. Cox, John C.; Huang, Chi-fu [1992] A continuous-time portfolio turnpike theorem, Journal of Economic Dynamics and Control, 16, No. 3/4, 491–507CrossRefGoogle Scholar
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Copyright information

© Springer-Verlag Berlin Heidelberg 1993

Authors and Affiliations

  • Götz Uebe
    • 1
  1. 1.Institut für Statistik und quantitative ÖkonomikUniv. Bundeswehr HamburgHamburg 70Germany

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