Title :
Risk preference under stochastic environment
Author :
Ishimura, Naoyuki ; Nakamura, Masaaki
Author_Institution :
Grad. Sch. of Econ., Hitotsubashi Univ., Tokyo, Japan
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;
Conference_Titel :
Business Management and Electronic Information (BMEI), 2011 International Conference on
Conference_Location :
Guangzhou
Print_ISBN :
978-1-61284-108-3
DOI :
10.1109/ICBMEI.2011.5917024
