Decreasing Relative Risk Premium
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References listed on IDEAS
- Lars Nielsen, 2005. "Monotone risk aversion," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 25(1), pages 203-215, January.
- Kimball, Miles S, 1993. "Standard Risk Aversion," Econometrica, Econometric Society, vol. 61(3), pages 589-611, May.
- Quiggin, John & Chambers, Robert G, 1998. "Risk Premiums and Benefit Measures for Generalized-Expected-Utility Theories," Journal of Risk and Uncertainty, Springer, vol. 17(2), pages 121-137, November.
More about this item
Keywordsexpected utility theory; relative risk premium; preferences on lotteries;
- D8 - Microeconomics - - Information, Knowledge, and Uncertainty
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-UPT-2006-11-25 (Utility Models & Prospect Theory)
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