Expected utility and the siegel paradox: A generalization

Ronny Aboudi; Dominique Thon

doi:10.1007/BF01237437

Expected utility and the siegel paradox: A generalization

Ronny Aboudi, Dominique Thon

Management Science

Research output: Contribution to journal › Article › peer-review

1 Scopus citations

Abstract

It was recently shown by Sinn that, under certain conditions, because of the Siegel paradox, even risk-averse agents can find speculation on forward currency markets attractive. His assumptions are that the spot and forward rates are identically distributed and statistically independent and that the agents' coefficients of relative risk aversion are constant and inferior to unity. We show that both assumptions of statistical independence and constant relative risk aversion can be dramatically relaxed.

Original language	English (US)
Pages (from-to)	69-93
Number of pages	25
Journal	Journal of Economics Zeitschrift für Nationalökonomie
Volume	57
Issue number	1
DOIs	https://doi.org/10.1007/BF01237437
State	Published - Feb 1 1993

ASJC Scopus subject areas

Business, Management and Accounting(all)
Economics and Econometrics

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Expected utility and the siegel paradox: A generalization

Abstract

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