The Generalised Extreme Value Distribution as Utility Function

Conniffe, Denis (2007) The Generalised Extreme Value Distribution as Utility Function. Department of Economics, NUIM.. (Unpublished)

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The idea that probability distribution functions could provide appropriate mathematical forms for utility functions representing risk aversion is of respectable antiquity. But the relatively few examples that have appeared in the economics literature have displayed quite restrictive risk aversion properties. This paper examines the potential of the generalised extreme value (GEV) distribution as utility function, showing it possesses considerable flexibility as regards risk aversion properties, even in its single parameter form. The paper concludes that the GEV utility function is worth considering for applications in cases where parametric parsimony matters.

Item Type: Other
Additional Information: Department of Economics Working Paper Series N178/09/07
Academic Unit: Faculty of Social Sciences > Economics, Finance and Accounting
Item ID: 706
Depositing User: Ms Sandra Doherty
Date Deposited: 17 Sep 2007
Publisher: Department of Economics, NUIM.
Refereed: No

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