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Comparative Risk Aversion for g-Expected Utility Maximizers

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Nonlinear Mathematics for Uncertainty and its Applications

Part of the book series: Advances in Intelligent and Soft Computing ((AINSC,volume 100))

Abstract

An index is introduced to measure the risk aversion of a g-expected utility maximizer.

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References

  1. Arrow, K.: Essays in the Theory of Risk Bearing. North Holland, London (1970)

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  2. Jia, G., Peng, S.: Jensen’s inequality for g-convex function under g-expectation. Probab. Theory Relat. Fields 147, 217–239 (2010)

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  3. Jia, G., Xia, J.: Comparative risk aversion for g-expected utility maximizers. On-going manuscript (2010)

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  4. Peng, S.: BSDE and related g-expectation. In: El Karoui, N., Mazliak, L. (eds.) Backward Stochastic Differential Equations. Pitman Research Notes in Mathematics Series, vol. 364, pp. 141–159 (1997a)

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  5. Peng, S.: BSDE and stochastic optimizations. In: Yan, J.A., Peng, S., Fang, S., Wu, L. (eds.) Topics in Stochastic Analysis. Science Press, Beijing (1997b) (in Chinese)

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  6. Pratt, J.: Risk aversion in the small and in the large. Econometrica 32, 122–136 (1964)

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Author information

Authors and Affiliations

  1. School of Mathematics, Shandong University, Ji’nan, 250100, Shandong, China

    Guangyan Jia

  2. Laboratory of Random Complex Structures and Data Science, Academy of Mathematics and Systems Science, Chinese Academy of Sciences, Beijing, 100190, China

    Jianming Xia

Authors
  1. Guangyan Jia
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  2. Jianming Xia
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Editor information

Editors and Affiliations

  1. College of Applied Sciences, Beijing University of Technology, 100 Pingleyuan, 100124, Chaoyang District, Beijing, P.R. China

    Shoumei Li , Xia Wang  & Li Guan ,  & 

  2. Department of Systems Design and Informatics, Kyushu Institute of Technology, 680-4, Kawazu, 820-8502, lizuka, Japan

    Yoshiaki Okazaki

  3. Department of Mathematics, Shinshu University, 4-17-1 Wakasato, 380-8553, Nagano, Japan

    Jun Kawabe

  4. Department of Computational Intelligence and Systems Science, Tokyo Institute of Technology, 4259-G3-47, Nagatsuta, Midori-ku, 226-8502, Yokohama, Japan

    Toshiaki Murofushi

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© 2011 Springer-Verlag Berlin Heidelberg

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Jia, G., Xia, J. (2011). Comparative Risk Aversion for g-Expected Utility Maximizers. In: Li, S., Wang, X., Okazaki, Y., Kawabe, J., Murofushi, T., Guan, L. (eds) Nonlinear Mathematics for Uncertainty and its Applications. Advances in Intelligent and Soft Computing, vol 100. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-22833-9_3

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  • DOI: https://doi.org/10.1007/978-3-642-22833-9_3

  • Publisher Name: Springer, Berlin, Heidelberg

  • Print ISBN: 978-3-642-22832-2

  • Online ISBN: 978-3-642-22833-9

  • eBook Packages: EngineeringEngineering (R0)

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