Generalised means of simple utility functions with risk aversion
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Citation:Conniffe, Denis. 'Generalised means of simple utility functions with risk aversion'. - Economic & Social Review, Vol. 39, No. 1, Spring, 2008, pp. 1?12, Dublin: Economic & Social Research Institute
The paper examines the properties of a generalised mean of simple utilities each displaying risk aversion, that is, with first derivative positive and second derivative negative. It shows the mean is itself a valid utility function and argues that simple component utilities, each of which may have quite restricted risk aversion properties, can be parsimoniously combined through the generalised mean formula to give a much more versatile utility function.
Publisher:Economic & Social Research Institute
Description:Paper delivered at the Twenty-First Annual Conference of the Irish Economic Association, Bunclody, Co. Wexford, April 25?27, 2007