Geodesic
Risk aversion, prudence and mixed optimal saving models
Kybernetika, Tome 50 (2014) no. 5, pp. 706-724

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The paper studies risk aversion and prudence of an agent in the face of a risk situation with two parameters, one described by a fuzzy number, the other described by a fuzzy variable. The first contribution of the paper is the characterization of risk aversion and prudence in mixed models by conditions on the concavity and the convexity of the agent's utility function and its partial derivatives. The second contribution is the building of mixed models of optimal saving and their connection with the concept of prudence and downside risk aversion.
DOI : 10.14736/kyb-2014-5-0706
Classification : 03E72, 91B30, 91B99, 94D05
Keywords: possibilistic risk aversion; prudence; optimal saving 
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Georgescu, Irina. Risk aversion, prudence and mixed optimal saving models. Kybernetika, Tome 50 (2014) no. 5, pp. 706-724. doi: 10.14736/kyb-2014-5-0706

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