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From sure to strong diversification

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  • Alain Chateauneuf

    ()
    (CERMSEM)

  • Ghizlane Lakhnati

    ()
    (CERMSEM)

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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File URL: ftp://mse.univ-paris1.fr/pub/mse/cahiers2005/B05035.pdf
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Bibliographic Info

Paper provided by Université Panthéon-Sorbonne (Paris 1) in its series Cahiers de la Maison des Sciences Economiques with number b05035.

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Length: 17 pages
Date of creation: Apr 2005
Date of revision:
Handle: RePEc:mse:wpsorb:b05035

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Keywords: Weak risk aversion; strong risk aversion; diversification;

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  1. Yaari, Menahem E, 1987. "The Dual Theory of Choice under Risk," Econometrica, Econometric Society, vol. 55(1), pages 95-115, January.
  2. Hong, Chew Soo & Karni, Edi & Safra, Zvi, 1987. "Risk aversion in the theory of expected utility with rank dependent probabilities," Journal of Economic Theory, Elsevier, vol. 42(2), pages 370-381, August.
  3. Rothschild, Michael & Stiglitz, Joseph E., 1970. "Increasing risk: I. A definition," Journal of Economic Theory, Elsevier, vol. 2(3), pages 225-243, September.
  4. 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.
  5. Tallon, J.-M. & Chateauneuf, A., 1998. "Diversification, Convex Preferences and Non-Empty Core," Papiers d'Economie Mathématique et Applications 98.32, Université Panthéon-Sorbonne (Paris 1).
  6. Dekel, Eddie, 1989. "Asset Demands without the Independence Axiom," Econometrica, Econometric Society, vol. 57(1), pages 163-69, January.
  7. Moez Abouda & Alain Chateauneuf, 2002. "Positivity of bid-ask spreads and symmetrical monotone risk aversion ," Theory and Decision, Springer, vol. 52(2), pages 149-170, March.
  8. Chateauneuf, Alain & Cohen, Michele, 1994. "Risk Seeking with Diminishing Marginal Utility in a Non-expected Utility Model," Journal of Risk and Uncertainty, Springer, vol. 9(1), pages 77-91, July.
  9. Quiggin, John, 1982. "A theory of anticipated utility," Journal of Economic Behavior & Organization, Elsevier, vol. 3(4), pages 323-343, December.
  10. Chateauneuf, Alain, 1999. "Comonotonicity axioms and rank-dependent expected utility theory for arbitrary consequences," Journal of Mathematical Economics, Elsevier, vol. 32(1), pages 21-45, August.
  11. Hong Chew Soo & Hui Mao Mei, 1995. "A Schur Concave Characterization of Risk Aversion for Non-expected Utility Preferences," Journal of Economic Theory, Elsevier, vol. 67(2), pages 402-435, December.
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  1. repec:hal:journl:halshs-00270648 is not listed on IDEAS
  2. repec:hal:journl:halshs-00492170 is not listed on IDEAS
  3. repec:hal:journl:halshs-00497444 is not listed on IDEAS

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