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A Note on the Intensity of Downside Risk Aversion

Author

Listed:
  • Francisco J. Vazquez
  • Richard Watt

Abstract

In this note we show that the measure of intensity of downside risk aversion proposed recently by Crainich and Eeckhoudt (2007) cannot be guaranteed to exist. We do this by means of an example in which the existence of the measure depends upon the values of the parameters in the problem.

Suggested Citation

  • Francisco J. Vazquez & Richard Watt, 2010. "A Note on the Intensity of Downside Risk Aversion," ICER Working Papers 24-2010, ICER - International Centre for Economic Research.
    • Handle: RePEc:icr:wpicer:24-2010
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    File URL: http://www.biblioecon.unito.it/biblioservizi/RePEc/icr/wp2010/ICERwp24-10.pdf
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    More about this item

    Keywords

    risk aversion; prudence; downside risk;
    All these keywords.

    JEL classification:

    • D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty

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