From sure to strong diversification
AbstractThis 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 , in what we name preference for strong diversification.
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Bibliographic InfoPaper provided by Université Panthéon-Sorbonne (Paris 1) in its series Cahiers de la Maison des Sciences Economiques with number b05035.
Length: 17 pages
Date of creation: Apr 2005
Date of revision:
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Weak risk aversion; strong risk aversion; diversification;
Other versions of this item:
- Alain Chateauneuf & Ghizlane Lakhnati, 2005. "From sure to strong diversification," UniversitÃ© Paris1 PanthÃ©on-Sorbonne (Post-Print and Working Papers) halshs-00194670, HAL.
- D80 - Microeconomics - - Information, Knowledge, and Uncertainty - - - General
- D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
This paper has been announced in the following NEP Reports:
- NEP-ALL-2005-05-14 (All new papers)
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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Econometric Society World Congress 2000 Contributed Papers
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- Abouda, Moez & Chateauneuf, Alain, 2002. "Characterization of symmetrical monotone risk aversion in the RDEU model," Mathematical Social Sciences, Elsevier, vol. 44(1), pages 1-15, September.
- Dekel, Eddie, 1989. "Asset Demands without the Independence Axiom," Econometrica, Econometric Society, vol. 57(1), pages 163-69, January.
- Yaari, Menahem E, 1987. "The Dual Theory of Choice under Risk," Econometrica, Econometric Society, vol. 55(1), pages 95-115, January.
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