Greater parametric downside risk aversion

DOI10.1016/J.JMATECO.2017.05.002zbMath1394.91133OpenAlexW3124007944MaRDI QIDQ2399683

Arthur Snow, Donald C. Keenan

Publication date: 24 August 2017

Published in: Journal of Mathematical Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmateco.2017.05.002

zbMATH Keywords

Schwarzianself-protectiondownside risk aversioncautiousnessprotective puts

Mathematics Subject Classification ID

Utility theory (91B16)

Related Items (3)

Prevention in two‐period time and its extension health risk model ⋮ 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

Cites Work

• Optimum consumption and portfolio rules in a continuous-time model
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• Substituting one risk increase for another: a method for measuring risk aversion
• A note on comparative downside risk aversion
• Some Stronger Measures of Risk Aversion in the Small and the Large with Applications
• Risk Aversion in the Small and in the Large
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