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Mixed models for risk aversion, optimal saving, and prudence

Irina Georgescu

Jani Kinnunen

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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