Aspects of the Theory of Risk-Bearing¶
Arrow, K. J. (1965). Aspects of the Theory of Risk-Bearing.
Cited by¶
3 citations across 3 artifacts.
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Primes¶
- Expected Utility
- Utility-of-wealth functions and their curvature underwrite the formal treatment of risk aversion (Pratt 1964; Arrow 1965) through the coefficient of absolute and relative risk aversion.
This sourceYrjö Jahnssonin Säätiö, Helsinki. Introduces the coefficients of absolute and relative risk aversion from utility-function curvature (independently of and alongside Pratt), formalizing the treatment of risk aversion in choice under uncertainty.
- Utility-of-wealth functions and their curvature underwrite the formal treatment of risk aversion (Pratt 1964; Arrow 1965) through the coefficient of absolute and relative risk aversion.
- Marginal Utility
- … over outcomes), the agent maximizes expected utility $E[U] = \sum_s p_s U(x_s)$, and the marginal utility of wealth in state $s$ determines risk aversion through the Arrow-Pratt coefficient $r(x) = -U''(x) / U'(x)$ (the ratio of the second to the first derivative of $U$, a measure of curvature concavity)
This sourceYrjö Jahnsson Foundation. Introduces the coefficients of absolute and relative risk aversion from utility-function curvature (independently of and alongside Pratt), formalizing the treatment of risk aversion in choice under uncertainty.
- … over outcomes), the agent maximizes expected utility $E[U] = \sum_s p_s U(x_s)$, and the marginal utility of wealth in state $s$ determines risk aversion through the Arrow-Pratt coefficient $r(x) = -U''(x) / U'(x)$ (the ratio of the second to the first derivative of $U$, a measure of curvature concavity)
- Risk Aversion
- and Savage (1954) as expected utility theory, and was sharpened by Arrow (1965)
This sourceIntroduces the coefficients of absolute and relative risk aversion from utility-function curvature (independently of and alongside Pratt) and advances the decreasing-absolute-risk-aversion (DARA) hypothesis, formalizing the treatment of risk aversion in choice under uncertainty.
- and Savage (1954) as expected utility theory, and was sharpened by Arrow (1965)
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