Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
6896841 | European Journal of Operational Research | 2015 | 11 Pages |
Abstract
This note extends the results on the first four derivatives of the utility function by Menegatti (Eur. J. Oper. Res. 232 (2014) 613-617) to the case of high-order derivatives. We show that, under usual assumptions, if the generic derivative of the utility function of order n is sign invariant then all the derivatives from order n to order 2 alternate in sign. We then focus on the case where the derivative of the utility function of order n is either positive when n is odd or negative when n is even, and we show the implications of this result for high-order risk changes and for saving decisions.
Keywords
Related Topics
Physical Sciences and Engineering
Computer Science
Computer Science (General)
Authors
Mario Menegatti,