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Multiplicative risk apportionment

  • Wang, Jianli
  • Li, Jingyuan

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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File URL: http://www.sciencedirect.com/science/article/B6V88-4YN5P8W-1/2/ec863272e48cb29d2c494b2d5e7e40e2
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Article provided by Elsevier in its journal Mathematical Social Sciences.

Volume (Year): 60 (2010)
Issue (Month): 1 (July)
Pages: 79-81

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Handle: RePEc:eee:matsoc:v:60:y:2010:i:1:p:79-81
Contact details of provider: Web page: http://www.elsevier.com/locate/inca/505565

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  1. Caballé, Jordi & Pomansky, Alexey, 1995. "Mixed Risk Aversion," Working Paper Series 444, Research Institute of Industrial Economics.
  2. EECKHOUDT, Louis & SCHLESINGER, Harris, . "Putting risk in its proper place," CORE Discussion Papers RP -1871, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  3. Louis Eeckhoudt & Harris Schlesinger, 2008. "Changes in Risk and the Demand for Saving," CESifo Working Paper Series 2388, CESifo Group Munich.
  4. Louis Eeckhoudt & Harris Schlesinger & Ilia Tsetlin, 2008. "Apportioning of Risks via Stochastic Dominance," CESifo Working Paper Series 2467, CESifo Group Munich.
  5. EECKHOUDT, Louis & ETNER, Johanna & SCHROYEN, Fred, . "The values of relative risk aversion and prudence: A context-free interpretation," CORE Discussion Papers RP -2162, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  6. Louis Eeckhoudt & Béatrice Rey & Harris Schlesinger, 2006. "A Good Sign for Multivariate Risk Taking," CESifo Working Paper Series 1796, CESifo Group Munich.
  7. Li, Jingyuan, 2009. "Comparative higher-degree Ross risk aversion," Insurance: Mathematics and Economics, Elsevier, vol. 45(3), pages 333-336, December.
  8. 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.
  9. 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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