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

DOI10.1007/S11238-013-9374-3zbMATH Open1290.91058OpenAlexW2044867175MaRDI QIDQ2015037FDOQ2015037

Authors Liqun Liu, Michel 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

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

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Cites work

• scientific article; zbMATH DE number 3342731 (Why is no real title available?)
• A Class of Utility Functions Containing all the Common Utility Functions
• Apportioning of risks via stochastic dominance
• Improving your chances: a new result
• Increasing outer risk
• Mixed risk aversion
• Mixed risk aversion and preference for risk disaggregation: a story of moments
• Moment characterization of higher-order risk preferences
• On \(s\)-convexity and risk aversion
• On the utility premium of Friedman and Savage
• Prudence, temperance, edginess, and risk apportionment as decreasing sensitivity to detrimental changes
• Risk Aversion in the Small and in the Large
• Stronger measures of higher-order risk attitudes

Cited in

(8)

• Apportioning of risks via stochastic dominance
• Decreasing Risk Aversion and Mean-Variance Analysis
• Connection between higher order measures of risk and stochastic dominance
• Convex and decreasing absolute risk aversion is proper
• The non-integer higher-order stochastic dominance
• On the relative efficiency of nth order and DARA stochastic dominance rules
• Stochastic dominance and absolute risk aversion
• Decreasing ross risk aversion: higher-order generalizations and implications

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