Substituting one risk increase for another: a method for measuring risk aversion

DOI10.1016/J.JET.2013.10.002MaRDI QIDQ2434243zbMATH OpenOpenAlexFDO

Authors Liqun Liu, Jack Meyer

Publication date 5 February 2014

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

Full work available at URL https://doi.org/10.1016/j.jet.2013.10.002

zbMATH Keywords

risk aversionrisk premiumcomparative risk aversionexpected utility modelrate of substitution

Mathematics Subject Classification ID

Decision theory (91B06)

Recommendations

• Risk attitudes and the value of risk transformations
• Restricted increases in risk aversion and their application
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• On relative and partial risk attitudes: theory and implications

Cites work

• scientific article; zbMATH DE number 3342731 (Why is no real title available?)
• A note on comparative downside risk aversion
• Comparative higher-degree Ross risk aversion
• Exposition of a New Theory on the Measurement of Risk
• Greater downside risk aversion
• Greater downside risk aversion in the large
• Higher-order generalizations of Arrow-Pratt and Ross risk aversion: a comparative statics approach
• Increasing outer risk
• Mixed risk aversion
• On the intensity of downside risk aversion
• On the utility premium of Friedman and Savage
• One-Switch Utility Functions and a Measure of Risk
• Preservation of More risk averse under expectations
• Risk Aversion in the Small and in the Large
• Risk Aversion with Random Initial Wealth
• Some Stronger Measures of Risk Aversion in the Small and the Large with Applications
• Stronger measures of higher-order risk attitudes
• The Ross Characterization of Risk Aversion: Strengthening and Extension
• The economics of risk and time
• The logic of partial-risk aversion: Paradox lost
• When Ross meets Bell: the linex utility function

Cited in

(24)

• Decreasing downside risk aversion and background risk
• Almost stochastic dominance for most risk-averse decision makers
• The monetary utility premium and interpersonal comparisons
• Health and portfolio choices: a diffidence approach
• Risk attitudes and the value of risk transformations
• Possibilistic risk aversion in group decisions: theory with application in the insurance of giga-investments valued through the fuzzy pay-off method
• Correlation aversion and bivariate stochastic dominance with respect to reference functions
• A note on the comparative statics approach to \(n\)th-degree risk aversion
• How do changes in risk and risk aversion affect self-protection with Selden/Kreps-Porteus preferences?
• Willingness to pay for stochastic improvements of future risk under different risk aversion
• The probability premium: a graphical representation
• Decreasing ross risk aversion: higher-order generalizations and implications
• Portfolio choice in the model of expected utility with a safety-first component
• Restricted increases in risk aversion and their application
• Intensity of preferences for bivariate risk apportionment
• Comparing utility derivative premia under additive and multiplicative risks
• Greater Arrow-Pratt (absolute) risk aversion of higher orders
• Precautionary saving in the large: \(n\)th degree deteriorations in future income
• A separation theorem for the weak \(s\)-convex orders
• Greater parametric downside risk aversion
• Comparative risk aversion with two risks
• Comparative higher-order risk aversion and higher-order prudence
• Higher-order risk vulnerability
• The utility premium of Friedman and Savage, comparative risk aversion, and comparative prudence

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