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 InfoPaper provided by Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) in its series CORE Discussion Papers with number 2007088.
Date of creation: 01 Nov 2007
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downside risk aversion; prudence; local and global properties;
Other versions of this item:
- D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
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