Application of operator monotone functions in economics

Proceedings of the Estonian Academy of Sciences

Frank Hansen¹ 

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关键词: mathematical economics;    operator monotone function;    relative risk premium;    risk vulnerability;    utility function;   

DOI  :  10.3176/proc.2010.1.07

学科分类：化学（综合）

来源: Teaduste Akadeemia Kirjastus

【 摘 要 】

Operator monotone functions play an important role in economics. We show that 2-monotonicity is equivalent to decreasing relative risk premium, a notion recently introduced in microeconomics. We also show that an operator monotone function is risk vulnerable, a notion introduced by Gollier and Pratt.

【 授权许可】

Unknown