Positive Homogeneity of the Principle of Equivalent Utility

• Authors: J. Chudziak , M. Chudziak , B. Sobek
• Languages of publication: EN

Abstracts

EN

We prove that if the principle of equivalent utility under the cumulative prospect theory is positively homogeneous on a relatively small family of risks for every non-negative initial wealth level, then a value function is linear for gains and losses, but, in general, it needs not be linear.

Keywords

EN

89.65.Gh

Discipline

• 89.65.Gh: Economics; econophysics, financial markets, business and management(for economic issues regarding production and use of renewable energy, see 88.05.Lg)

• Publisher: Institute of Physics, Polish Academy of Sciences
• Journal: Acta Physica Polonica A
• Year: 2016
• Volume: 129
• Issue: 5
• Pages: 941-944

Dates

published

2016-05

Contributors

author

J. Chudziak

• Faculty of Mathematics and Natural Sciences, University of Rzeszów, Prof. S. Pigonia 1, 35-310 Rzeszów, Poland

author

M. Chudziak

• Faculty of Mathematics and Natural Sciences, University of Rzeszów, Prof. S. Pigonia 1, 35-310 Rzeszów, Poland

author

B. Sobek

• Faculty of Mathematics and Natural Sciences, University of Rzeszów, Prof. S. Pigonia 1, 35-310 Rzeszów, Poland

References

• [1] M. Kałuszka, M. Krzeszowiec, Insur. Math. Econ. 50, 159 (2012), doi: 10.1016/j.insmatheco.2011.11.001
• [2] D. Denneberg, Lectures on Non-Additive Measure and Integral, Kluwer, Boston 1994
• [3] J. Chudziak, M. Halicki, S. Wójcik, Acta Phys. Pol. A 127, A-29 (2015), doi: 10.12693/APhysPolA.127.A-29
• [4] A. Reich, ASTIN Bull. 14, 123 (1984)
• [5] S. Heilpern, Insur. Math. Econ. 33, 67 (2003), doi: 10.1016/S0167-6687(03)00144-6
• [6] J. Chudziak, Z. Kočan, Results Math. 66, 199 (2014), doi: 10.1007/s00025-014-0372-8

Identifiers

DOI

10.12693/APhysPolA.129.941