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This paper generalizes the notion of risk aversion for functions which are not necessarily differentiable nor strictly concave. Using an approach based on superdifferentials, the authors define the notion of a risk aversion measure, from which the classical absolute as well as relative risk aversion follows as a Radon-Nikodym derivative if it exists. Using this notion, we are able to compare risk aversions for nonsmooth utility functions, and to extend a classical Pratt's result to the case of such functions. The authors prove how relative risk aversion is connected to a super-power property of the function. Furthermore, they show how boundedness of the relativwe risk aversion translates to the corresponding property of the conjugate function. 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