Reversibly greater downside risk aversion

被引:0
|
作者
Donald C. Keenan
Arthur Snow
机构
[1] University of Cergy-Pontoise,Department of Economics and Management, THEMA
[2] University of Georgia,Department of Economics
来源
The Geneva Risk and Insurance Review | 2022年 / 47卷
关键词
Downside risk aversion; Risk aversion; Prudence; D81;
D O I
暂无
中图分类号
学科分类号
摘要
It is shown that, for the Arrow–Pratt measure ru=-u′′/u′\documentclass[12pt]{minimal} \usepackage{amsmath} \usepackage{wasysym} \usepackage{amsfonts} \usepackage{amssymb} \usepackage{amsbsy} \usepackage{mathrsfs} \usepackage{upgreek} \setlength{\oddsidemargin}{-69pt} \begin{document}$$r_u=-u''/u'$$\end{document} and the third-order measure Du=u′′′/u′-3ru2,\documentclass[12pt]{minimal} \usepackage{amsmath} \usepackage{wasysym} \usepackage{amsfonts} \usepackage{amssymb} \usepackage{amsbsy} \usepackage{mathrsfs} \usepackage{upgreek} \setlength{\oddsidemargin}{-69pt} \begin{document}$$D_u=u'''/u'-3r_u^2,$$\end{document} an increase in both risk-preference measures, when utility changes from u to v,  yields a strict partial ordering by greater downside risk aversion, in that v is then a risk-averse and downside risk-averse transformation of u. More decisively, the result is reversible and, so, a decrease in both measures yields an ordering of utility functions by less downside risk aversion.
引用
收藏
页码:327 / 338
页数:11
相关论文
共 50 条
  • [1] Reversibly greater downside risk aversion
    Keenan, Donald C.
    Snow, Arthur
    GENEVA RISK AND INSURANCE REVIEW, 2022, 47 (02): : 327 - 338
  • [2] Reversibly greater downside risk aversion by a prudence-based measure
    Keenan, Donald C.
    Snow, Arthur
    ECONOMICS LETTERS, 2022, 210
  • [3] Greater downside risk aversion
    Keenan, DC
    Snow, A
    JOURNAL OF RISK AND UNCERTAINTY, 2002, 24 (03) : 267 - 277
  • [4] Greater Downside Risk Aversion
    Donald C. Keenan
    Arthur Snow
    Journal of Risk and Uncertainty, 2002, 24 : 267 - 277
  • [5] Greater prudence and greater downside risk aversion
    Keenan, Donald C.
    Snow, Arthur
    JOURNAL OF ECONOMIC THEORY, 2010, 145 (05) : 2018 - 2026
  • [6] Greater parametric downside risk aversion
    Keenan, Donald C.
    Snow, Arthur
    JOURNAL OF MATHEMATICAL ECONOMICS, 2017, 71 : 119 - 128
  • [7] Greater downside risk aversion in the large
    Keenan, Donald C.
    Snow, Arthur
    JOURNAL OF ECONOMIC THEORY, 2009, 144 (03) : 1092 - 1101
  • [8] Downside Risk Aversion and the Downside Risk Premium
    Stapleton, Richard C.
    Zeng, Qi
    JOURNAL OF RISK AND INSURANCE, 2018, 85 (02) : 379 - 395
  • [9] Risk aversion, downside risk aversion, and the transition to entrepreneurship
    Bonilla, Claudio A.
    Vergara, Marcos
    THEORY AND DECISION, 2021, 91 (01) : 123 - 133
  • [10] Risk aversion, downside risk aversion, and the transition to entrepreneurship
    Claudio A. Bonilla
    Marcos Vergara
    Theory and Decision, 2021, 91 : 123 - 133