Application of operator monotone functions in economics

被引：0
作者：
Hansen, Frank [1 ]
机构：
[1] Univ Copenhagen, Dept Econ, DK-1353 Copenhagen K, Denmark
来源：
PROCEEDINGS OF THE ESTONIAN ACADEMY OF SCIENCES | 2010年 / 59卷 / 01期
关键词：
mathematical economics; operator monotone function; relative risk premium; risk vulnerability; utility function; RISK;
D O I：
10.3176/proc.2010.1.07
中图分类号：
O [数理科学和化学]; P [天文学、地球科学]; Q [生物科学]; N [自然科学总论];
学科分类号：
07 ; 0710 ; 09 ;
摘要：
Operator monotone functions play an important role in economics. We show that 2-monotonicity is equivalent to decreasing relative risk premium, a notion recently introduced in microeconomics. We also show that an operator monotone function is risk vulnerable, a notion introduced by Gollier and Pratt.
引用
收藏
页码：42 / 47
页数：6
相关论文
共 7 条
1