On the intensity of downside risk aversion
The degree of downside risk aversion (or equivalently prudence) is so far usually measured by -U'''/U''. We propose here another measure, U'''/U', which has interesting properties, different from those related to -U'''/U''. It also appears that the two measures are not mutually exclusive. Instead, they seem to be rather complementary as shown through an economic application.
(This abstract was borrowed from another version of this item.)
|Date of creation:|
|Note:||In : Journal of Risk and Uncertainty, 36, 267-276, 2008|
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