On the intensity of downside risk aversion
AbstractThe degree of downside risk aversion (or equivalently prudence) is so far usually measured by -U'''/U''. We propose here another measure, U'''/U', which has interesting properties, different from those related to -U'''/U''. It also appears that the two measures are not mutually exclusive. Instead, they seem to be rather complementary as shown through an economic application.
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Bibliographic InfoArticle provided by Springer in its journal Journal of Risk and Uncertainty.
Volume (Year): 36 (2008)
Issue (Month): 3 (June)
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Web page: http://www.springerlink.com/link.asp?id=100299
Downside risk aversion; Measure; Intensity; D81;
Other versions of this item:
- CRAINICH, Davida & EECKHOUDT, Louis, . "On the intensity of downside risk aversion," CORE Discussion Papers RP -2061, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- CRAINICH, David & EECKHOUDT, Louis, 2007. "On the intensity of downside risk aversion," CORE Discussion Papers 2007088, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
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