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.
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|Date of creation:||2008|
|Publication status:||Published in Journal of Risk and Uncertainty, Springer Verlag, 2008, 36 (3), pp.267-276. 〈10.1007/s11166-008-9037-x〉|
|Note:||View the original document on HAL open archive server: https://hal.archives-ouvertes.fr/hal-00292420|
|Contact details of provider:|| Web page: https://hal.archives-ouvertes.fr/|
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