Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/83182 
Year of Publication: 
2001
Series/Report no.: 
Volkswirtschaftliche Diskussionsbeiträge No. 99-01
Publisher: 
Universität Siegen, Fakultät III, Wirtschaftswissenschaften, Wirtschaftsinformatik und Wirtschaftsrecht, Siegen
Abstract: 
This note provides an alternative proof for the equivalence of decreasing absolute prudence (DAP) in the expected utility framework and in a two-parametric approach where utility is a function of the mean and the standard deviation. In addition, we elucidate that the equivalence of DAP and the concavity of utility as a function of mean and variance, which was shown to hold for normally distributed stochastics in Lajeri and Nielsen [Economic Theory 15 (2000), 469-476], cannot be generalized.
Document Type: 
Working Paper

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