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Local risk proneness in analytically approximated utility functions under monotonically decreasing preferences

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Nikolova, N ORCID: 0000-0001-6160-6282, Mednikarov, B and Tenekedjiev, K ORCID: 0000-0003-3549-0671 2018 , 'Local risk proneness in analytically approximated utility functions under monotonically decreasing preferences' , Proceedings of the Bulgarian Academy of Sciences, vol. 71, no. 11 , pp. 1534-1543 , doi: 10.7546/CRABS.2018.11.13.

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Abstract

We discuss an analytical arctan form to approximate decreasing utilitiesbased on several nodes of its graphics elicited in interval form. We demonstratethe process on two types of nodes originating from different subjective elicitation approaches. Our focus is also on the local risk attitude estimator, whichin the case of decreasing preferences gets interpreted as local risk proneness vsthe local risk aversion for increasing preferences.

Item Type: Article
Authors/Creators:Nikolova, N and Mednikarov, B and Tenekedjiev, K
Keywords: von Neumann-Morgenstern utility, subjective elicitation, risk attitude
Journal or Publication Title: Proceedings of the Bulgarian Academy of Sciences
Publisher: Akademichno Izdatelstvo Prof. Marin Drinov, Prof. Marin Drinov Academic Publishing House
ISSN: 2367-5535
DOI / ID Number: 10.7546/CRABS.2018.11.13
Copyright Information:

Copyright 2018 Comptes rendus de l'Académie bulgare des Sciences

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