Stronger measures of higher-order risk attitudes
AbstractThis paper aims to extend the results by Ross (1981)  and by Modica and Scarsini (2005)  to stochastic dominance of degree 4 and over. Specifically, it is shown that Ross' approach can be extended to any order of risk attitude beyond the generalization proposed by Modica and Scarsini by means of sth degree increase in risk defined by Ekern (1980) .
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Bibliographic InfoArticle provided by Elsevier in its journal Journal of Economic Theory.
Volume (Year): 145 (2010)
Issue (Month): 5 (September)
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Web page: http://www.elsevier.com/locate/inca/622869
Risk aversion Downside risk Prudence Temperance Increase in risk Risk apportionment;
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- Menezes, C & Geiss, C & Tressler, J, 1980. "Increasing Downside Risk," American Economic Review, American Economic Association, vol. 70(5), pages 921-32, December.
- Ross, Stephen A, 1981. "Some Stronger Measures of Risk Aversion in the Small and the Large with Applications," Econometrica, Econometric Society, vol. 49(3), pages 621-38, May.
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- repec:ner:louvai:info:hdl:2078.1/94974 is not listed on IDEAS
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CORE Discussion Papers RP
-1871, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
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- Modica, Salvatore & Scarsini, Marco, 2005. "A note on comparative downside risk aversion," Journal of Economic Theory, Elsevier, vol. 122(2), pages 267-271, June.
- Georges Dionne & Jingyuan Li, 2012. "Comparative Ross Risk Aversion in the Presence of Mean Dependent Risks," Cahiers de recherche 1211, CIRPEE.
- Georges Dionne & Jingyuan Li, 2012. "Comparative Ross Risk Aversion in the Presence of Quadrant Dependent Risks," Cahiers de recherche 1226, CIRPEE.
- Elyès Jouini & Clotilde Napp & Diego Nocetti, 2011.
"On Multivariate Prudence,"
- Keenan, Donald C. & Snow, Arthur, 2012. "Ross risk vulnerability for introductions and changes in background risk," Journal of Mathematical Economics, Elsevier, vol. 48(4), pages 197-206.
- David Crainich & Louis Eeckhoudt & Olivier Le Courtois, 2013. "An index of (absolute) correlation aversion: theory and some implications," Working Papers 2013-ECO-12, IESEG School of Management.
- Georges Dionne & Jingyuan Li & Cedric Okou, 2012. "An Extension of the Consumption-based CAPM Model," Cahiers de recherche 1214, CIRPEE.
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