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The Generalised Extreme Value Distribution as Utility Function
Conniffe, Denis
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.
Keyword(s): Economics, Finance & Accounting
Publication Date:
Type: Other
Peer-Reviewed: No
Institution: Maynooth University
Citation(s): Conniffe, Denis (2007) The Generalised Extreme Value Distribution as Utility Function. Department of Economics, NUIM.. (Unpublished)
Publisher(s): Department of Economics, NUIM.
File Format(s): application/pdf
Related Link(s):
First Indexed: 2020-01-31 06:09:48 Last Updated: 2020-04-02 07:53:06