Resource title

Utility Functions of Equivalent Form and the Effect of Parameter Changes on Optimum Decision Making

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Resource description

We derive a class of utility functions that are equivalent with respect to a well-defined functional form. We study the case of constant relative risk aversion (of some order) to investigate on different equivalence relations in order to determine the, possibly infinite, number of equivalence classes when utility functions satisfy a specific form. Then we apply our results to standard applications in economics and finance, for example, to the effect of price volatility on optimum hedging.

Resource author

Udo Broll, Harald L. Battermann, Jack E. Wahl

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Resource publish date

Resource language

eng

Resource content type

text/html

Resource resource URL

http://hdl.handle.net/10419/22729

Resource license

Adapt according to the presented license agreement and reference the original author.