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From sure to strong diversification

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  • Alain Chateauneuf

    ()
    (CERMSEM - CEntre de Recherche en Mathématiques, Statistique et Économie Mathématique - CNRS : UMR8095 - Université Paris I - Panthéon-Sorbonne)

  • Ghizlane Lakhnati

    ()
    (CERMSEM - CEntre de Recherche en Mathématiques, Statistique et Économie Mathématique - CNRS : UMR8095 - Université Paris I - Panthéon-Sorbonne)

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    Abstract

    This paper presents a characterization of weak risk aversion in terms of preference for sure diversification. Similarly, we show that strong risk aversion can be characterized by weakening preference for diversification, as introduced by Dekel [11], in what we name preference for strong diversification.

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    Bibliographic Info

    Paper provided by HAL in its series Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) with number halshs-00194670.

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    Date of creation: Apr 2005
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    Handle: RePEc:hal:cesptp:halshs-00194670

    Note: View the original document on HAL open archive server: http://halshs.archives-ouvertes.fr/halshs-00194670
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    Keywords: Weak risk aversion; strong risk aversion; diversification.;

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