{"title":"Utility function for monetary gains (and losses) satisfying Friedman-Savage hypothesis","authors":"S. Lahiri","doi":"10.14505/jmef.v8.1(14).02","DOIUrl":null,"url":null,"abstract":"\n \n \nIn this note we provide a closed form utility function for gains that is S-shaped around the origin and satisfies the Friedman-Savage hypothesis. We obtain the corresponding Arrow–Pratt measure of absolute risk aversion (ARA) as well as Arrow–Pratt measure of relative risk aversion (RRA) for it. \n \n \n","PeriodicalId":367341,"journal":{"name":"Journal of Mathematical Economics and Finance","volume":"63 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"2022-06-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Journal of Mathematical Economics and Finance","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.14505/jmef.v8.1(14).02","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
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Abstract
In this note we provide a closed form utility function for gains that is S-shaped around the origin and satisfies the Friedman-Savage hypothesis. We obtain the corresponding Arrow–Pratt measure of absolute risk aversion (ARA) as well as Arrow–Pratt measure of relative risk aversion (RRA) for it.
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