A new utility function, which I call expo-power, is proposed that exhibits decreasing, constant, or increasing absolute risk aversion and decreasing or increasing relative risk aversion, depending on parameter values. Numerical analysis suggests that the expo-power function performs well in incorporating these risk preference structures, and that arbitrary risk preference specifications may lead to biased risk response estimates.

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“Expo-Power Utility: A Flexible Form for Absolute and Relative Risk Aversion,” A. Saha, American Journal of Agricultural Economics, 75 (1993), 905–913