Greater downside risk aversion in the large

DOI10.1016/j.jet.2008.08.007zbMath1159.91365OpenAlexW1986002366MaRDI QIDQ1017783

Donald C. Keenan, Arthur Snow

Publication date: 12 May 2009

Published in: Journal of Economic Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jet.2008.08.007

zbMATH Keywords

risk aversiondownside riskArrow-PrattDiamond-Stiglitz

Mathematics Subject Classification ID

Decision theory (91B06) Utility theory (91B16)

Related Items (11)

Who should exert more effort? Risk aversion, downside risk aversion and optimal prevention ⋮ Greater parametric downside risk aversion ⋮ Prudence probability premium ⋮ Greater Arrow-Pratt (absolute) risk aversion of higher orders ⋮ Substituting one risk increase for another: a method for measuring risk aversion ⋮ Greater prudence and greater downside risk aversion ⋮ On multivariate prudence ⋮ Higher-order risk vulnerability ⋮ Bringing order to rankings of utility functions by strong increases in \(n\)th order aversion to risk ⋮ Reversibly greater downside risk aversion by a prudence-based measure ⋮ On the relationship between comparisons of risk aversion of different orders

Cites Work

• On the intensity of downside risk aversion
• Greater downside risk aversion
• Higher-order generalizations of Arrow-Pratt and Ross risk aversion: a comparative statics approach
• A note on comparative downside risk aversion
• Some Stronger Measures of Risk Aversion in the Small and the Large with Applications
• Standard Risk Aversion
• Risk Aversion in the Small and in the Large

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