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Anti-comonotone random variables and anti-monotone risk aversion

Author

Listed:
  • Moez Abouda

    (CES - Centre d'économie de la Sorbonne - UP1 - Université Paris 1 Panthéon-Sorbonne - CNRS - Centre National de la Recherche Scientifique, BESTMOD - ISG - Institut Supérieur de Gestion de Tunis [Tunis] - Université de Tunis)

  • Elyess Farhoud

    (BESTMOD - ISG - Institut Supérieur de Gestion de Tunis [Tunis] - Université de Tunis, Ecole Polytechnique de Tunisie - EPT)

Abstract

This paper focuses on the study of decision making under risk. We first recall some model-free definitions of risl aversion and increase in risk. We propose a new form of behavior under risk that we call anti-monotone risk aversion (hererafter referred to as ARA) related to the concept of anti-comonotony a concept investigated in Abouda, Aouani and Chateauneuf (2008). Note that many research has already been done in this field e.g. through the theory of comonotonicity. We give relationships between comonotone, strict comonotone, anti-comonotone and strict anti-comonotone random variables. Then, after the motivation of ARA, we show that this new aversion is weaker than monotone risk aversion while stronger than weak risk aversion.

Suggested Citation

  • Moez Abouda & Elyess Farhoud, 2010. "Anti-comonotone random variables and anti-monotone risk aversion," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00497444, HAL.
    • Handle: RePEc:hal:cesptp:halshs-00497444
    Note: View the original document on HAL open archive server: https://shs.hal.science/halshs-00497444
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    Cited by:

    1. Moez Abouda & Elyess Farhoud, 2010. "Risk aversion and Relationships in model-free," Post-Print halshs-00492170, HAL.

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