RISK AVERSION IN AN INCOMPLETE MARKET INFLUENCED BY GOVERNMENT REGULATION

被引：2

作者：

Xu, Mingyu ^{[1
]}

Hu, Feng ^{[1
]}

机构：

[1] Qufu Normal Univ, Sch Stat & Data Sci, Qufu 273165, Shandong, Peoples R China

来源：

JOURNAL OF INDUSTRIAL AND MANAGEMENT OPTIMIZATION | 2025年 / 21卷 / 01期

基金：

中国国家自然科学基金;

关键词：

Risk aversion; sub-linear expectation; uncertainty theory; risk premium; incomplete market influenced by government regulation; BROWNIAN-MOTION;

D O I：

10.3934/jimo.2024074

中图分类号：

T [工业技术];

学科分类号：

08 ;

摘要：

Arrow and Pratt developed the risk aversion theory for utility functions. We present a novel framework in this paper: risk aversion in an incomplete market influenced by government regulation. The characteristics of an incomplete market and government regulation are described by sub-linear expectation theory and uncertainty theory, respectively. In this framework, we give the expressions of expectations of risk and prove Jensen's inequality. Then we introduce the risk premium, find its approximate value range, and prove Pratt's theorem in this case. Finally, a special type of risk aversion (decreasing risk aversion) and some operations that preserve decreasing risk aversion are given.

引用

页码：20 / 41

页数：22

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