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Please use this identifier to cite or link to this item: http://hdl.handle.net/2262/61586

Title: The generalised extreme value distribution as utility function
Author: Conniffe, Denis
Keywords: Probability distribution
Utility function
Quantitative economics
Risk aversion
Issue Date: 2007
Publisher: Economic & Social Research Institute
Citation: Conniffe, Denis. 'The generalised extreme value distribution as utility function'. - Economic & Social Review, Vol. 38, No. 3, Winter, 2007, pp. 275–288, Dublin: Economic & Social Research Institute
Abstract: The idea that probability distribution functions could provide appropriate mathematical forms for utility functions representing risk aversion is of respectable antiquity. But the relatively few examples that have appeared in the economics literature have displayed quite restrictive risk aversion properties. This paper examines the potential of the generalised extreme value (GEV) distribution as utility function, showing it possesses considerable flexibility as regards risk aversion properties, even in its single parameter form. The paper concludes that the GEV utility function is worth considering for applications in cases where parametric parsimony matters.
URI: http://hdl.handle.net/2262/61586
ISSN: 00129984
Appears in Collections:Economic and Social Review Archive: Complete Collection 1969-
The Economic and Social Review, Vol. 38, No. 3, Winter, 2007

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