Skip to main content
SpringerLink
Log in

The von Neumann-Morgenstern Utility Functions with Constant Risk Aversions

  • Chapter
Econophysics of Order-driven Markets

Part of the book series: New Economic Windows ((NEW))

  • 1657 Accesses

Abstract

Two Arrow-Pratt measures of risk aversion indicate attitudes of the individuals towards risk. In the theory of finance often these measures are assumed to be constant. Using certain intuitively reasonable conditions, this paper develops axiomatic characterizations of the utility functions for which the Arrow-Pratt measures are constant.

This is a preview of subscription content, log in via an institution to check access.

Access this chapter

Log in via an institution
eBook
USD 16.99
Price excludes VAT (USA)
  • Available as PDF
  • Read on any device
  • Instant download
  • Own it forever
Softcover Book
USD 99.99
Price excludes VAT (USA)
  • Compact, lightweight edition
  • Dispatched in 3 to 5 business days
  • Free shipping worldwide - see info
Hardcover Book
USD 139.99
Price excludes VAT (USA)
  • Durable hardcover edition
  • Dispatched in 3 to 5 business days
  • Free shipping worldwide - see info

Tax calculation will be finalised at checkout

Purchases are for personal use only

Institutional subscriptions

Preview

Unable to display preview. Download preview PDF.

Unable to display preview. Download preview PDF.

References

  1. Aczel, J. (1966) Lectures on functional equations and their applications. Academic Press, London

    Google Scholar 

  2. Apostol, M. (1974) Mathematical analysis. Addison-Wesley, London

    Google Scholar 

  3. Arrow, K. (1971) Essays on the theory of risk bearing. Markham, Chicago

    Google Scholar 

  4. Demange, G. and Laroque, G. (2006) Finance and the economics of uncertainty, Blackwell, London

    Google Scholar 

  5. Marshall, A.W. and Olkin, I. (1979) Inequalities: theory of majorization and its applications, Academic Press, New York

    Google Scholar 

  6. Pratt, J. (1964) Risk aversion in the small and the large. Econometrica, 32; 122–136

    Article  Google Scholar 

  7. Rudin, W. (1976) Principles of mathematical analysis. McGraw-Hill, London

    Google Scholar 

  8. Sen, A (1977) On Weights and measures: information constraints in social welfare analysis. Econometrica 45; 1539–1572

    Article  Google Scholar 

Download references

Author information

Authors and Affiliations

  1. Indian Statistical Institute, Kolkata, India

    Satya R. Chakravarty

  2. Ramakrishna Mission Vidyamandira, Howrah, India

    Debkumar Chakrabarti

Authors
  1. Satya R. Chakravarty
    View author publications

    You can also search for this author in PubMed Google Scholar

  2. Debkumar Chakrabarti
    View author publications

    You can also search for this author in PubMed Google Scholar

Editor information

Editors and Affiliations

  1. Laboratory of Mathematics Applied to Systems, École Centrale Paris, Châtenay-Malabry, France

    Frédéric Abergel (Chair of Quantitative Finance) & Anirban Chakraborti (Chair of Quantitative Finance) (Chair of Quantitative Finance) &  (Chair of Quantitative Finance)

  2. Centre for Applied Mathematics and Computational Science, Saha Institute of Nuclear Physics, Kolkata, India

    Bikas K. Chakrabarti

  3. Economic Research Unit, Indian Statistical Institute, Kolkata, India

    Bikas K. Chakrabarti  & Manipushpak Mitra  & 

Rights and permissions

Reprints and permissions

Copyright information

© 2011 Springer-Verlag Italia

About this chapter

Cite this chapter

Chakravarty, S.R., Chakrabarti, D. (2011). The von Neumann-Morgenstern Utility Functions with Constant Risk Aversions. In: Abergel, F., Chakrabarti, B.K., Chakraborti, A., Mitra, M. (eds) Econophysics of Order-driven Markets. New Economic Windows. Springer, Milano. https://doi.org/10.1007/978-88-470-1766-5_17

Download citation

Publish with us

Policies and ethics

Search

Navigation