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Comparative Mixed Risk Aversion

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Author Info
Dachraoui, K.
Dionne, G.
Eeckhoudt, L.
Godfroid, P.

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Abstract

Recently, Caballi and Pomansky (1996) proposed a formal definition of mixed risk aversion and characterized stochastic dominance in presence of such utility functions. However they did not study comparative mixed risk aversion. In this note we give a sufficient condition for analytic comparative mixed risk aversion.

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Publisher Info
Paper provided by Ecole des Hautes Etudes Commerciales de Montreal-Chaire de gestion des risques. in its series Ecole des Hautes Etudes Commerciales de Montreal- with number 00-10.

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Length: 7 pages
Date of creation: 2000
Date of revision:
Handle: RePEc:fth:etcori:00-10

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Postal: Canada; ECOLE DES HAUTES ETUDES COMMERCIALES(H.E.C.),3000, chemin de la Cote-Sainte-Catherine. Montreal (Quebec) Canada H3T 2A7.
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Related research
Keywords: RISK ; BEHAVIOUR ; UTILITY FUNCTIONS;

Find related papers by JEL classification:
D80 - Microeconomics - - Information, Knowledge, and Uncertainty - - - General

Cited by:
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  1. Grönqvist, Erik, 2004. "Does Adverse Selection Matter? Evidence from a Natural Experiment," Working Paper Series in Economics and Finance 575, Stockholm School of Economics. [Downloadable!]
Statistics
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This page was last updated on 2009-12-16.


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