On the relationship between comparisons of risk aversion of different orders

DOI10.1016/J.JMATECO.2022.102757MaRDI QIDQ2092787zbMATH OpenOpenAlexWikidataFDO

Authors Mario Menegatti, Marzia De Donno

Publication date 3 November 2022

Published in Journal of Mathematical Economics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jmateco.2022.102757

zbMATH Keywords

comparison of risk aversiongreater \(n\)th degree risk aversiongreater downside risk aversiongreater risk aversionstrongly greater \(n\)th degree risk aversionstrongly greater downside risk aversion

Mathematics Subject Classification ID

Utility theory (91B16)

Recommendations

• Comparative higher-degree Ross risk aversion
• A note on comparative downside risk aversion
• Greater Arrow-Pratt (absolute) risk aversion of higher orders
• New results on the relationship among risk aversion, prudence and temperance
• Observing different orders of risk aversion

Cites work

• An Axiomatic Model of Unbounded Utility Functions
• Bringing order to rankings of utility functions by strong increases in nth order aversion to risk
• Changes in multiplicative risks and optimal portfolio choice: new interpretations and results
• Greater downside risk aversion
• Greater downside risk aversion in the large
• Microeconomic theory
• Mixed risk aversion
• New results on high-order risk changes
• New results on the relationship among risk aversion, prudence and temperance
• On the conditions for precautionary saving
• Risk Aversion in the Small and in the Large
• Some conditions for the equivalence between risk aversion, prudence and temperance
• Stochastic Dominance and the Maximization of Expected Utility
• The asymptotic elasticity of utility functions and optimal investment in incomplete markets
• The Efficiency Analysis of Choices Involving Risk
• Unbounded Utility for Savage's “Foundations of Statistics,” and Other Models
• Unbounded Utility Functions in Expected Utility Theory

Cited in

(6)

• Bringing order to rankings of utility functions by strong increases in nth order aversion to risk
• A note on comparative downside risk aversion
• A note on fourth-order risk aversion
• Nonparametric comparative revealed risk aversion
• Preferences on discounting under time risk
• Preferences over risk changes in variance

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