Comparative Risk Aversion When the Outcomes are Vectors
Pratt (1964) and Yaari (1969) contain the classical results pertaining to the equivalence of various notions of comparative risk aversion of von Neumann- Morgenstern utilities in the setting with real-valued outcomes. They have obtained analogues of the classical results in the setting with outcomes in ordered topological vector spaces when diﬀerentiability is not required, and in the setting with out comes in ordered Hilbert spaces when diﬀerentiability is required, as is the case when we work with a vector-valued generalized notion of an Arrow-Pratt coeﬃcient. [Working Paper No. 149]
When requesting a correction, please mention this item's handle: RePEc:ess:wpaper:id:2907. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Padma Prakash)
If references are entirely missing, you can add them using this form.