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Mixed models for risk aversion, optimal saving, and prudence

Irina Georgescu. Academy of Economic Studies.

Jani Kinnunen. Institute for Advanced Management Systems Research.

Abstract

The models of this paper refer to mixed risk situations: one parameter is a fuzzy number and the other is a random variable. Three notions of mixed expected utility are proposed as a mathematical basis of these models. The results of the paper describe risk aversion and prudence of an agent in front of a risk situation with mixed parameters and the changes of optimal saving as an effect of mixed risk.

 

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