Decreasing higher-order absolute risk aversion and higher-degree stochastic dominance

DOI10.1007/s11238-013-9374-3zbMath1290.91058OpenAlexW2044867175MaRDI QIDQ2015037

Liqun Liu, Michel M. Denuit

Publication date: 18 June 2014

Published in: Theory and Decision (Search for Journal in Brave)

Full work available at URL: https://cdn.uclouvain.be/public/Exports%20reddot/stat/documents/DP2013_07_denuit_decreasing.pdf

zbMATH Keywords

stochastic dominancerisk apportionmentdecreasing risk aversionrate of substitution

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Decision theory (91B06) Utility theory (91B16)

Cites Work

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• A Class of Utility Functions Containing all the Common Utility Functions
• Risk Aversion in the Small and in the Large
• On \(s\)-convexity and risk aversion

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