Implications of constant risk aversion

The assumption of constant risk aversion often leads to a considerable simplification of decision theoretic analyses. It is shown that this restriction on constant risk aversion permits the description of a wide range of risk averse patterns between the extreme cases of risk neutrality and the exclusive orientation on the pessimistic maxmin criterion. In particular, a new axiomatic foundation of the constant risk aversion is given and a series of properties for the certainty equivalent are derived. Possible applications are shown by the treatment of risk premiums, values of information, portfolio selection, capital market theory and syndicates.ZusammenfassungDie Zugrundelegung einer konstanten Risikoaversion vereinfacht entscheidungstheoretische Analysen oft erheblich. In dieser Arbeit wird gezeigt, daß die Beschränkung auf konstante Risikoaversion ein großes Spektrum risikoaverser Verhaltensweisen zwischen den Extremfällen der Risikoneutralität und der alleinigen Orientierung am pessimistischen Maximin-Kriterium zu beschreiben gestattet. Insbesondere werden eine neue axiomatische Begründung der konstanten Risikoaversion vorgestellt und eine Reihe von Eigenschaften für das zugehörige Sicherheitsäquivalent hergeleitet. Zur Verdeutlichung der Anwendungsmöglichkeiten werden exemplarisch Risikoprämien, Informationswerte, Portfolio-Selektion und Kapitalmarkttheorie sowie Syndikate behandelt.

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