Decreasing Relative Risk Premium

DOI10.2202/1935-1704.1370MaRDI QIDQ3394960zbMATH OpenOpenAlexFDO

Authors Frank-Peter Hansen

Publication date 11 September 2009

Published in The B.E. Journal of Theoretical Economics (Search for Journal in Brave)

Full work available at URL https://curis.ku.dk/ws/files/23372712/0621New.pdf, http://www.bepress.com/bejte/vol7/iss1/art37

Mathematics Subject Classification ID

Utility theory (91B16)

Recommendations

• Broadly decreasing risk aversion
• Aversion pour le Risque Croissante avec une Richesse Initiale Aleatoire
• Risk premiums and benefit measures for generalized-expected-utility theories
• Risk Vulnerability and the Tempering Effect of Background Risk
• Monotone risk aversion

Cites work

• scientific article; zbMATH DE number 3437485 (Why is no real title available?)
• Risk premiums and benefit measures for generalized-expected-utility theories
• Risk Vulnerability and the Tempering Effect of Background Risk
• Some Stronger Measures of Risk Aversion in the Small and the Large with Applications
• Standard Risk Aversion

Cited in

(3)

• On the utility premium of Friedman and Savage
• Broadly decreasing risk aversion
• Aversion pour le Risque Croissante avec une Richesse Initiale Aleatoire

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