Calculation of Price Equilibria for Utility Functions of the HARA Class
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AbstractWe 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.
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2006 ◽
Vol 29
(2)
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pp. 155-160
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Keyword(s):
1982 ◽
Vol 26
(3)
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pp. 220-225
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2002 ◽
Vol 21
(6)
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pp. 635-640
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