From sure to strong diversification
This paper presents a characterization of weak risk aversion in terms of preference for sure diversification. Similarly, we show that strong risk aversion can be characterized by weakening preference for diversification, as introduced by Dekel , in what we name preference for strong diversification.
|Date of creation:||Apr 2005|
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- Tallon, J.-M. & Chateauneuf, A., 1998.
"Diversification, Convex Preferences and Non-Empty Core,"
Papiers d'Economie MathÃ©matique et Applications
98.32, UniversitÃ© PanthÃ©on-Sorbonne (Paris 1).
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- Hong Chew Soo & Hui Mao Mei, 1995. "A Schur Concave Characterization of Risk Aversion for Non-expected Utility Preferences," Journal of Economic Theory, Elsevier, vol. 67(2), pages 402-435, December.
- Chateauneuf, Alain, 1999. "Comonotonicity axioms and rank-dependent expected utility theory for arbitrary consequences," Journal of Mathematical Economics, Elsevier, vol. 32(1), pages 21-45, August.
- Quiggin, John, 1982. "A theory of anticipated utility," Journal of Economic Behavior & Organization, Elsevier, vol. 3(4), pages 323-343, December.
- Abouda, Moez & Chateauneuf, Alain, 2002. "Characterization of symmetrical monotone risk aversion in the RDEU model," Mathematical Social Sciences, Elsevier, vol. 44(1), pages 1-15, September.
- Dekel, Eddie, 1989. "Asset Demands without the Independence Axiom," Econometrica, Econometric Society, vol. 57(1), pages 163-169, January.
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