Multiplicative risk apportionment
This paper examines changes in a multiplicative risk and how these changes affect preferences in an expected-utility setting. We define higher-order multiplicative risk apportionment, via a particular classes of lottery preference and show it is equivalent to the magnitude of higher-order relative risk aversion.
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References listed on IDEAS
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- Jindapon, Paan & Neilson, William S., 2007. "Higher-order generalizations of Arrow-Pratt and Ross risk aversion: A comparative statics approach," Journal of Economic Theory, Elsevier, vol. 136(1), pages 719-728, September.
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- Louis Eeckhoudt & Harris Schlesinger & Ilia Tsetlin, 2008.
"Apportioning of Risks via Stochastic Dominance,"
CESifo Working Paper Series
2467, CESifo Group Munich.
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- Eeckhoudt, Louis & Etner, Johanna & Schroyen, Fred, 2009. "The values of relative risk aversion and prudence: A context-free interpretation," Mathematical Social Sciences, Elsevier, vol. 58(1), pages 1-7, July.
- Louis Eeckhoudt & Béatrice Rey & Harris Schlesinger, 2007.
"A Good Sign for Multivariate Risk Taking,"
INFORMS, vol. 53(1), pages 117-124, January.
- Li, Jingyuan, 2009. "Comparative higher-degree Ross risk aversion," Insurance: Mathematics and Economics, Elsevier, vol. 45(3), pages 333-336, December.
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"Mixed Risk Aversion,"
Journal of Economic Theory,
Elsevier, vol. 71(2), pages 485-513, November.
- Eeckhoudt, Louis & Schlesinger, Harris, 2008.
"Changes in risk and the demand for saving,"
Journal of Monetary Economics,
Elsevier, vol. 55(7), pages 1329-1336, October.
- Ilia Tsetlin & Robert L. Winkler, 2009. "Multiattribute Utility Satisfying a Preference for Combining Good with Bad," Management Science, INFORMS, vol. 55(12), pages 1942-1952, December.
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