On the definition of risk aversion (Q753618): Difference between revisions
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Revision as of 19:36, 19 February 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | On the definition of risk aversion |
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On the definition of risk aversion (English)
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1990
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Two definitions of risk aversion are given. The former refers the measure of risk aversion to the risk premium. The latter defines risk aversion as a decreasing preference for an increasing risk. If the von Neumann- Morgenstern utility function exists both definitions are equivalent, in the other case not. Examples are given.
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nonexpected utility
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risk aversion
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risk premium
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