Application of operator monotone functions in economics

Frank Hansen

Research output: Contribution to journalArticlepeer-review

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 languageEnglish
Pages (from-to)42-47
Number of pages6
JournalProceedings of the Estonian Academy of Sciences
Volume59
Issue number1
DOIs
Publication statusPublished - 2010

Keywords

  • Mathematical economics
  • Operator monotone function
  • Relative risk premium
  • Risk vulnerability
  • Utility function

ASJC Scopus subject areas

  • Engineering(all)

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