GLOBAL MEASURES OF RISK-AVERSION

被引：4

作者：

BARDSLEY, P

机构：

[1] Department of Agriculture and Rural Affairs, Melbourne

来源：

JOURNAL OF ECONOMIC THEORY | 1991年 / 55卷 / 01期

关键词：

D O I：

10.1016/0022-0531(91)90062-9

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

Global risk aversion coefficients are defined in terms of the average curvature of utility functions. These coefficients can be related to the slope of indifference curves in a space of moments or cumulants, and they are used to characterise expected utility choice functionals in the class of all smooth choice functionals. The use of global risk aversion coefficients is illustrated with a simple portfolio problem. © 1991.

引用

页码：145 / 160

页数：16

共 12 条

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