Multiplicative risk apportionment
AbstractThis paper examines changes in a multiplicative risk and how these changes affect preferences in an expected-utility setting. We define higher-order multiplicative risk apportionment, via a particular classes of lottery preference and show it is equivalent to the magnitude of higher-order relative risk aversion.
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Bibliographic InfoArticle provided by Elsevier in its journal Mathematical Social Sciences.
Volume (Year): 60 (2010)
Issue (Month): 1 (July)
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Web page: http://www.elsevier.com/locate/inca/505565
Higher-order relative risk aversion Higher-order multiplicative risk apportionment;
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