• DocumentCode
    1843279
  • Title

    Risk preference under stochastic environment

  • Author

    Ishimura, Naoyuki ; Nakamura, Masaaki

  • Author_Institution
    Grad. Sch. of Econ., Hitotsubashi Univ., Tokyo, Japan
  • Volume
    1
  • fYear
    2011
  • fDate
    13-15 May 2011
  • Firstpage
    668
  • Lastpage
    670
  • Abstract
    We introduce a quantity describing the risk preference of the optimal decision problem under random environment, which extends the Arrow-Pratt coefficient of relative risk aversion for the utility function. We show the existence of well-behaved solutions to the evolution equation of the quantity.
  • Keywords
    decision making; financial management; risk management; stochastic processes; utility theory; Arrow-Pratt coefficient; optimal decision problem; risk preference; stochastic environment; utility function; Equations; Mathematical model; Microeconomics; Optical sensors; Arrow-Pratt coefficient of the relative risk aversion; evolution equation; existence; optimal decision; risk preference;
  • fLanguage
    English
  • Publisher
    ieee
  • Conference_Titel
    Business Management and Electronic Information (BMEI), 2011 International Conference on
  • Conference_Location
    Guangzhou
  • Print_ISBN
    978-1-61284-108-3
  • Type

    conf

  • DOI
    10.1109/ICBMEI.2011.5917024
  • Filename
    5917024
    • Link To Document
    https://search.isc.ac/dl/search/defaultta.aspx?DTC=49&DC=1843279