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Développements limités sur les mesures de l'aversion au risque

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  • Jean-Michel Courtault

Abstract

[fre] Développements limités sur les mesures de l'aversion au risque. . Dans cette note, une démonstration rigoureuse établissant la validité des mesures de l'aversion au risque de Arrow-Pratt est explicitée et le lien avec l'approche de Kolm-Yaari est également mis au jour. [eng] Finite developments on risk aversion measures . . In this note a rigourous proof is provided for risk aversion measures of Arrow-Pratt. The link with the contingent approach of Kolm-Yaari is also analysed.

Suggested Citation

  • Jean-Michel Courtault, 1992. "Développements limités sur les mesures de l'aversion au risque," Revue Économique, Programme National Persée, vol. 43(3), pages 509-518.
  • Handle: RePEc:prs:reveco:reco_0035-2764_1992_num_43_3_409364
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    References listed on IDEAS

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    1. Jean-Michel Courtault, 1992. "Développements limités sur les mesures de l'aversion au risque," Revue Économique, Programme National Persée, vol. 43(3), pages 509-518.
    2. Yaari, Menahem E., 1969. "Some remarks on measures of risk aversion and on their uses," Journal of Economic Theory, Elsevier, vol. 1(3), pages 315-329, October.
    3. Paul A. Samuelson, 1970. "The Fundamental Approximation Theorem of Portfolio Analysis in terms of Means, Variances and Higher Moments," Review of Economic Studies, Oxford University Press, vol. 37(4), pages 537-542.
    4. Sandmo, Agnar, 1969. "Capital Risk, Consumption, and Portfolio Choice," Econometrica, Econometric Society, vol. 37(4), pages 586-599, October.
    5. Ross, Stephen A, 1981. "Some Stronger Measures of Risk Aversion in the Small and the Large with Applications," Econometrica, Econometric Society, vol. 49(3), pages 621-638, May.
    6. Kihlstrom, Richard E & Romer, David & Williams, Steve, 1981. "Risk Aversion with Random Initial Wealth," Econometrica, Econometric Society, vol. 49(4), pages 911-920, June.
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    1. Jean-Michel Courtault, 1992. "Développements limités sur les mesures de l'aversion au risque," Revue Économique, Programme National Persée, vol. 43(3), pages 509-518.

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