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Fakultät Wirtschaftswissenschaften, Technische Universität Dresden >
Dresden Discussion Paper Series in Economics, Faculty of Business and Economics, TU Dresden >
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|Title:||Utility Functions of Equivalent Form and the Effect of Parameter Changes on Optimum Decision Making |
Battermann, Harald L.
Wahl, Jack E.
|Issue Date:||2006 |
|Series/Report no.:||Dresden discussion paper in economics 02/06|
|Abstract:||We derive a class of utility functions that are equivalent with respect to a well-defined functional form. We study the case of constant relative risk aversion (of some order) to investigate on different equivalence relations in order to determine the, possibly infinite, number of equivalence classes when utility functions satisfy a specific form. Then we apply our results to standard applications in economics and finance, for example, to the effect of price volatility on optimum hedging.|
|Document Type:||Working Paper|
|Appears in Collections:||Dresden Discussion Paper Series in Economics, Faculty of Business and Economics, TU Dresden|
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