Smooth nonexpected utility without state independence
By: Hengjie Ai.
Contributors: Federal Reserve Bank of Minneapolis. Research Dept.
Series: Working paper / Federal Reserve Bank of Minneapolis, Research Dept. ;; 637; Working paper (Federal Reserve Bank of Minneapolis : Online) ;; 637.
Publisher: Federal Reserve Bank of Minneapolis, Research Dept.
Published: 2005
Place of publication: [Minneapolis, MN]
Language: eng
Format: Electronic resource
Description: "We propose a notion of smoothness of nonexpected utility  functions, which extends the variational analysis of nonexpected utility functions to more general settings. In particular, our theory applies to state dependent utilities, as well as the multiple prior expected utility model, both of which are not possible in previous literatures. Other nonexpected utility models are shown to satisfy smoothness under more general conditions than the Frʹechet and Gateaux differentiability used in the literature. We give more general characterizations of monotonicity and risk aversion without assuming state independence of utility function."
Notes: Also available in print.
Includes bibliographical references.
Title from PDF file (viewed on Sept. 6, 2005).
"August 2005."
System requirements: Adobe Acrobat Reader.
Mode of access: World Wide Web.