IDEAS home Printed from https://ideas.repec.org/a/cup/astinb/v16y1986is1ps91-s97_01.html
   My bibliography  Save this article

Calculation of Price Equilibria for Utility Functions of the HARA Class

Author

Listed:
  • Lienhard, Markus

Abstract

We explicitly calculate price equilibria for power and logarithmic utility functions which—together with the exponential utility functions—form the so-called HARA (Hyperbolic Absolute Risk Aversion) class. A price equilibrium is economically admissible in the market which is a closed system. Furthermore it is on the one side individually optimal for each participant of the market (in the sense of maximal expected utility), on the other side it is a Pareto optimum and thus collectively optimal for the market as a whole.

Suggested Citation

  • Lienhard, Markus, 1986. "Calculation of Price Equilibria for Utility Functions of the HARA Class," ASTIN Bulletin, Cambridge University Press, vol. 16(S1), pages 91-97, April.
    • Handle: RePEc:cup:astinb:v:16:y:1986:i:s1:p:s91-s97_01
    as

    Download full text from publisher

    File URL: https://www.cambridge.org/core/product/identifier/S0515036100011673/type/journal_article
    File Function: link to article abstract page
    Download Restriction: no
    ---><---

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Borglin, Anders & Flåm, Sjur, 2007. "Risk Exchange as a Market or Production Game," Working Papers 2007:16, Lund University, Department of Economics.
    2. Iwaki, Hideki & Kijima, Masaaki & Morimoto, Yuji, 2001. "An economic premium principle in a multiperiod economy," Insurance: Mathematics and Economics, Elsevier, vol. 28(3), pages 325-339, June.
    3. Louis Eeckhoudt & Philippe Godfroid, 1998. "The market value of preventive activities: A contingent-claims approach," Journal of Economics, Springer, vol. 68(1), pages 27-38, February.
    4. Gerber, Hans U. & Shiu, Elias S. W., 1996. "Actuarial bridges to dynamic hedging and option pricing," Insurance: Mathematics and Economics, Elsevier, vol. 18(3), pages 183-218, November.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:cup:astinb:v:16:y:1986:i:s1:p:s91-s97_01. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Kirk Stebbing (email available below). General contact details of provider: https://www.cambridge.org/asb .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.