A note on comparative downside risk aversion

DOI10.1016/j.jet.2004.06.008zbMath1114.91063OpenAlexW2066875384MaRDI QIDQ2485958

Salvatore Modica, Marco Scarsini

Publication date: 5 August 2005

Published in: Journal of Economic Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jet.2004.06.008

zbMATH Keywords

Downside risk aversionDownside riskRisk vulnerability

Mathematics Subject Classification ID

Related Items (29)

Who should exert more effort? Risk aversion, downside risk aversion and optimal prevention ⋮ Restricted increases in risk aversion and their application ⋮ Portfolio choice in the model of expected utility with a safety-first component ⋮ Greater parametric downside risk aversion ⋮ Prudence probability premium ⋮ The value of risk reduction: new tools for an old problem ⋮ Decreasing downside risk aversion and background risk ⋮ Greater Arrow-Pratt (absolute) risk aversion of higher orders ⋮ Possibilistic risk aversion in group decisions: theory with application in the insurance of giga-investments valued through the fuzzy pay-off method ⋮ When Ross meets Bell: the linex utility function ⋮ Substituting one risk increase for another: a method for measuring risk aversion ⋮ Greater prudence and greater downside risk aversion ⋮ Stronger measures of higher-order risk attitudes ⋮ Comparative ross risk aversion in the presence of mean dependent risks ⋮ On multivariate prudence ⋮ Do risk lovers invest in self-protection? ⋮ Precautionary saving in the large: \(n\)th degree deteriorations in future income ⋮ Comparative higher-degree Ross risk aversion ⋮ Decreasing ross risk aversion: higher-order generalizations and implications ⋮ Higher-order generalizations of Arrow-Pratt and Ross risk aversion: a comparative statics approach ⋮ On the intensity of downside risk aversion ⋮ Higher-order risk vulnerability ⋮ Health and portfolio choices: a diffidence approach ⋮ A note on the comparative statics approach to \(n\)th-degree risk aversion ⋮ A separation theorem for the weak \(s\)-convex orders ⋮ Risk preference heterogeneity in group contests ⋮ Greater downside risk aversion in the large ⋮ The monetary utility premium and interpersonal comparisons ⋮ Comparative ambiguity aversion and downside ambiguity aversion

Cites Work

• Some Stronger Measures of Risk Aversion in the Small and the Large with Applications
• Risk Vulnerability and the Tempering Effect of Background Risk
• Risk Aversion in the Small and in the Large
• On the conditions for precautionary saving

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