Article1992

The Pratt-Arrow Requirement in a Fourth Degree Polynomial Utility Function

13 citations0/0 files storedJournal of Accounting Auditing & Finance

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Decision-Making and Behavioral Economics Financial Literacy, Pension, Retirement Analysis Risk and Portfolio Optimization

Abstract

The main objective of this paper is to show that a fourth degree polynomial utility function proposed in a recent paper, which meets the requirement of risk aversion, can be restricted further to meet the added requirement of decreasing absolute risk aversion. Secondary objectives are to show the features and advantages of the proposed function.

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2019Theory of games and economic behavior 1964Risk Aversion in the Small and in the Large 1976Risk Aversion in the Small and in the Large 1972Essays in the Theory of Risk-Bearing.1945Theory of Games and Economic Behavior 1952The Utility of Wealth 1979Approximating Expected Utility by a Function of Mean and Variance 1980On The Direction of Preference for Moments of Higher Order Than The Variance

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2013Comoment risk and stock returns 2004Optimal Portfolio Allocation Under Higher Moments

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