Application of operator monotone functions in economics

Frank Hansen

doi:10.3176/proc.2010.1.07

Application of operator monotone functions in economics

Frank Hansen

Økonomisk Institut

Abstract

Operator monotone functions play an important role in economics. We show that 2-monotonicity is equivalent to decreasing relative risk premium, a notion recently introduced in microeconomics. We also show that an operator monotone function is risk vulnerable, a notion introduced by Go Hier and Pratt.

Originalsprog	Engelsk
Tidsskrift	Proceedings of the Estonian Academy of Sciences : Physics, Mathematics
Vol/bind	59
Udgave nummer	1
Sider (fra-til)	42-47
Antal sider	6
ISSN	1406-0086
DOI	https://doi.org/10.3176/proc.2010.1.07
Status	Udgivet - 2010

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Application of operator monotone functions in economics

Abstract

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