Abstract

CHAVEZ, Etelvina Stefani; MILANESI, Gastón  and  PESCE, Gabriela. Funciones de utilidad y estimación de la aversión al riesgo: revisión de la literatura. Escr. Contab. Adm. [online]. 2016, vol.7, n.2, pp. 97-118. ISSN 1853-2055.

This paper presents an undetailed summary of the theoretical background on the utility of individuals and an analytical systematization of the different functional forms of the utility function. The constant absolute risk aversion (CARA) utility function, the constant relative risk aversion (CRRA) function, the hyperbolic absolute risk aversion function (HARA), the Expo-Power function (EP), the power risk aversion function (PRA) and the flexible three parameter function (FTP) are described. For each function, the intrinsic characteristics of the preferences of individuals are listed, taking into account the absolute and relative risk aversion coefficients. Finally, a sensitivity analysis of utility and risk aversion coefficients against changes in the level of wealth is made, showing how the different functions behave.

Keywords : Utility; Absolute and Relative Risk Aversion; Functional Form; Risk Preferences; Choice Under Uncertainty.