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dc.contributor.authorConniffe, Denis
dc.date.accessioned2012-01-10T14:46:41Z
dc.date.available2012-01-10T14:46:41Z
dc.date.issued2007
dc.identifier.citationConniffe, 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
dc.identifier.issn0012-9984
dc.identifier.otherJEL D02
dc.identifier.otherJEL D21
dc.identifier.urihttp://hdl.handle.net/2262/61586
dc.description.abstractThe 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.en
dc.language.isoen
dc.publisherEconomic & Social Studies
dc.relation.ispartofVol.XX, No. XX, Issue, Year
dc.sourceEconomic & Social Reviewen
dc.subjectProbability distributionen
dc.subjectUtility functionen
dc.subjectQuantitative economicsen
dc.subjectRisk aversionen
dc.titleThe generalised extreme value distribution as utility function
dc.typeJournal Article
dc.publisher.placeDublinen


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