Differentiability of von Neumann-Morgenstern utility functions

被引：1

作者：

Nakamura, Yutaka ^{[1
]}

机构：

[1] Univ Tsukuba, Grad Sch Syst & Informat Engn, Div Social Syst & Management, Tsukuba, Ibaraki 3058573, Japan

来源：

JOURNAL OF MATHEMATICAL ECONOMICS | 2015年 / 60卷

关键词：

Differentiability; Expected utility; Risk aversion; Downside risk; Prudence; Temperance;

D O I：

10.1016/j.jmateco.2015.06.008

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

This paper studies necessary and sufficient preference-based conditions for differentiability of risk averse (prudent, or temperate) von Neumann-Morgenstern utility functions. The very idea to devise those conditions is based on the reverse claim of an old observation by Arrow that a risk-averse expected-utility maximizer will always accept a sufficiently small stake in any positive expected-value bet if her von Neumann-Morgenstern utility function is differentiable. (C) 2015 Elsevier B.V. All rights reserved.

引用

页码：74 / 80

页数：7

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