Benchmark values for higher order coefficients of relative risk aversion

DOI10.1007/s11238-013-9353-8zbMath1293.91066OpenAlexW2135355856MaRDI QIDQ2443952

Béatrice Rey, Michel M. Denuit

Publication date: 8 April 2014

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

Full work available at URL: https://doi.org/10.1007/s11238-013-9353-8

zbMATH Keywords

expected utilitystochastic dominancewealth effecthigher-order multiplicative risk apportionmenthigher-order relative risk aversion

Mathematics Subject Classification ID

Utility theory (91B16)

Related Items (6)

Precautionary saving under many risks ⋮ Greater Arrow-Pratt (absolute) risk aversion of higher orders ⋮ Labor supply with stochastic wage rate and non-labor income uncertainty ⋮ Risk aversion, downside risk aversion, and the transition to entrepreneurship ⋮ Changes in multiplicative risks and optimal portfolio choice: new interpretations and results ⋮ Diversification and risk attitudes toward two risks

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• Multiplicative Background Risk
• Risk Vulnerability and the Tempering Effect of Background Risk
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• On the Theory of Risk Aversion

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