The Schwarzian derivative as a ranking of downside risk aversion
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Bibliographic InfoArticle provided by Springer in its journal Journal of Risk and Uncertainty.
Volume (Year): 44 (2012)
Issue (Month): 2 (April)
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Web page: http://www.springerlink.com/link.asp?id=100299
1-cocycle property; Invertibility; Affine and projective transformations; D81; C65;
Find related papers by JEL classification:
- D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
- C65 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Miscellaneous Mathematical Tools
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"On the intensity of downside risk aversion,"
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"Standard Risk Aversion,"
Econometric Society, vol. 61(3), pages 589-611, May.
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- Keenan, Donald C & Snow, Arthur, 2002. " Greater Downside Risk Aversion," Journal of Risk and Uncertainty, Springer, vol. 24(3), pages 267-77, May.
- Modica, Salvatore & Scarsini, Marco, 2005. "A note on comparative downside risk aversion," Journal of Economic Theory, Elsevier, vol. 122(2), pages 267-271, June.
- Menezes, C & Geiss, C & Tressler, J, 1980. "Increasing Downside Risk," American Economic Review, American Economic Association, vol. 70(5), pages 921-32, December.
- Liqun Liu & Jack Meyer, 2012. "Decreasing absolute risk aversion, prudence and increased downside risk aversion," Journal of Risk and Uncertainty, Springer, vol. 44(3), pages 243-260, June.
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