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A Note on the Intensity of Downside Risk Aversion

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  • Francisco J. Vazquez
  • Richard Watt

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    Abstract

    In this note we show that the measure of intensity of downside risk aversion proposed recently by Crainich and Eeckhoudt (2007) cannot be guaranteed to exist. We do this by means of an example in which the existence of the measure depends upon the values of the parameters in the problem.

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    File URL: http://www.icer.it/docs/wp2010/ICERwp24-10.pdf
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    Bibliographic Info

    Paper provided by ICER - International Centre for Economic Research in its series ICER Working Papers with number 24-2010.

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    Length: 11 pages
    Date of creation: Oct 2010
    Date of revision:
    Handle: RePEc:icr:wpicer:24-2010

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    Keywords: risk aversion; prudence; downside risk;

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