Utility function for monetary gains (and losses) satisfying Friedman-Savage hypothesis

  • Somdeb Lahiri Ex-Professor PD Energy University, India


In this note we provide a closed form utility function for gains that is S-shaped around the origin and satisfies the Friedman-Savage hypothesis. We obtain the corresponding Arrow–Pratt measure of absolute risk aversion (ARA) as well as Arrow–Pratt measure of relative risk aversion (RRA) for it.


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How to Cite
LAHIRI, Somdeb. Utility function for monetary gains (and losses) satisfying Friedman-Savage hypothesis. Journal of Mathematical Economics and Finance, [S.l.], v. 8, n. 1, p. 23 - 30, june 2022. ISSN 2458-0813. Available at: <https://journals.aserspublishing.eu/jmef/article/view/7165>. Date accessed: 20 apr. 2024. doi: https://doi.org/10.14505/jmef.v8.1(14).02.