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Risk Aversion and Expected Utility : The Constant-Absolute-Risk Aversion Function and its Application to Oligopoly
http://hdl.handle.net/10441/13857
http://hdl.handle.net/10441/13857405ce166-9722-49a5-b049-68305a96ca77
| 名前 / ファイル | ライセンス | アクション |
|---|---|---|
DPA13_p.1-22 酒井泰弘.pdf (982.8 kB)
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| Item type | テクニカルレポート / Technical Report(1) | |||||||
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| 公開日 | 2014-11-10 | |||||||
| タイトル | ||||||||
| タイトル | Risk Aversion and Expected Utility : The Constant-Absolute-Risk Aversion Function and its Application to Oligopoly | |||||||
| 言語 | ||||||||
| 言語 | eng | |||||||
| キーワード | ||||||||
| 主題Scheme | Other | |||||||
| 主題 | Risk aversion | |||||||
| キーワード | ||||||||
| 主題Scheme | Other | |||||||
| 主題 | expected utility | |||||||
| キーワード | ||||||||
| 主題Scheme | Other | |||||||
| 主題 | oligopoly | |||||||
| 資源タイプ | ||||||||
| 資源タイプ識別子 | http://purl.org/coar/resource_type/c_18gh | |||||||
| 資源タイプ | technical report | |||||||
| 著者 |
Sakai, Yasuhiro
× Sakai, Yasuhiro
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| 著者(ヨミ) | ||||||||
| 姓名 | サカイ, ヤスヒロ | |||||||
| 著者別名 | ||||||||
| 姓名 | 酒井, 泰弘 | |||||||
| 抄録 | ||||||||
| 内容記述タイプ | Abstract | |||||||
| 内容記述 | The purpose of this paper is to carefully investigate the relationship between the concepts of risk aversion and expected utility, with a focus on the constant-risk-aversion function and its application to oligopoly theory. Whereas there is now a growing literature in risk, uncertainty and the market, the operational theory of risk-averse oligopoly has been rather underdeveloped so far ．One of the reasons for such underdevelopment is that the established concept of risk aversion remains too abstract rather than reasonably operational, whence very few economists have dared to study the economic consequences of a change of risk aversion by firms. In this paper, we attempt to combine the constant-absolute-risk aversion function developed by K. J. Arrow and J. W. Pratt, two great economists of the 20th century, and the normal distribution function invented by K.F. Gauss, a mathematical genius of the 19th century: The resulting situation may be called the KARA-NORMAL case. We intend to invent a very useful mathematical theorem for this specific yet important case, and then apply it to the theory of risk-averse oligopoly. In particular, the impact of increasing risk aversion on the outputs of duopolies are carefully examined. It is shown among other things that the comparative static results depend on the degree of risk aversion and the state of product differentiation. |
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| 引用 | ||||||||
| 内容記述タイプ | Other | |||||||
| 内容記述 | CRR Discussion Paper, Series A, No. A-13, pp. 1-22 | |||||||
| 書誌情報 |
CRR Discussion Paper, Series A 号 No. A-13, p. 1-22, 発行日 2014-11 |
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| 出版者 | ||||||||
| 出版者 | Center for Risk Research (CRR), Shiga University | |||||||
| 資源タイプ | ||||||||
| 内容記述タイプ | Other | |||||||
| 内容記述 | Technical Report | |||||||
