On the economic meaning of Machina's Frechet differentiability assumption
成果类型：
Article
署名作者：
Safra, Z; Segal, U
署名单位：
Tel Aviv University; Boston College
刊物名称：
JOURNAL OF ECONOMIC THEORY
ISSN/ISSBN：
0022-0531
DOI：
10.1006/jeth.2002.2926
发表日期：
2002
页码：
450-461
关键词：
摘要：
This note shows that M. J. Machina's (1982, Econometrica 50, 277 323) assumption that preferences over lotteries are smooth has some economic implications. We show that Frechet differentiability implies that preferences represent second order risk aversion (as well as conditional second order risk aversion). This implies, among other things, that decision makers buy full insurance only at the absence of marginal loading. We also show that with constant absolute and relative risk aversion, expected value maximization, second order risk aversion, and Frechet differentiability are equivalent. (C) 2002 Elsevier Science (USA).