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.
| Original language | English |
|---|---|
| Journal | Proceedings of the Estonian Academy of Sciences : Physics, Mathematics |
| Volume | 59 |
| Issue number | 1 |
| Pages (from-to) | 42-47 |
| Number of pages | 6 |
| ISSN | 1406-0086 |
| DOIs | |
| Publication status | Published - 2010 |
Keywords
- Faculty of Social Sciences
- mathematical economics
- relative risk premium
- risk vulnerability
- utility function