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A note on greater downside risk aversion

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  • Richard Watt

Abstract

This paper characterizes downside risk aversion in a simple and intuitive manner. It is shown that using this characterization one can simplify considerably a theorem by Jindapon (2010) relating to greater downside risk aversion as measured by the prudence probability premium. The comparative statics of downside risk aversion in risk-free wealth are also considered.

Suggested Citation

  • Richard Watt, 2011. "A note on greater downside risk aversion," ICER Working Papers 17-2011, ICER - International Centre for Economic Research.
    • Handle: RePEc:icr:wpicer:17-2011
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    File URL: http://www.bemservizi.unito.it/repec/icr/wp2011/ICERwp17-11.pdf
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    References listed on IDEAS

    as
    1. Eeckhoudt, Louis & Schlesinger, Harris, 2009. "On the utility premium of Friedman and Savage," Economics Letters, Elsevier, vol. 105(1), pages 46-48, October.
    2. David Crainich & Louis Eeckhoudt, 2008. "On the intensity of downside risk aversion," Journal of Risk and Uncertainty, Springer, vol. 36(3), pages 267-276, June.
    3. Jindapon, Paan, 2010. "Prudence probability premium," Economics Letters, Elsevier, vol. 109(1), pages 34-37, October.
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    Cited by:

    1. Liqun Liu & William S. Neilson, 2019. "Alternative Approaches to Comparative n th-Degree Risk Aversion," Management Science, INFORMS, vol. 65(8), pages 3824-3834, August.
    2. Paan Jindapon & Liqun Liu & William S. Neilson, 2021. "Comparative risk apportionment," Economic Theory Bulletin, Springer;Society for the Advancement of Economic Theory (SAET), vol. 9(1), pages 91-112, April.

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    More about this item

    Keywords

    downside risk aversion; prudence;

    JEL classification:

    • D8 - Microeconomics - - Information, Knowledge, and Uncertainty

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