Application of operator monotone functions in economics

F Hansen
2010 Proceedings of the Estonian Academy of Sciences  
Operator monotone functions play an important role in economics. We show that 2-monotonicity is equivalent to decreasing relative risk premium, a notion recently introduced in microeconomics. We also show that an operator monotone function is risk vulnerable, a notion introduced by Gollier and Pratt.
doi:10.3176/proc.2010.1.07 fatcat:7w4uavofkja75depdymf2wyrwe