Arrow-Pratt Measures of Risk Aversion: The Multivariate Case

DOI10.2307/2527041zbMATH Open0743.90035OpenAlexW2044841120MaRDI QIDQ3986367FDOQ3986367

Authors: Haim Levy, Azriel Levy 

Publication date: 27 June 1992

Published in: International Economic Review (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/2527041

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zbMATH Keywords

Arrow-Pratt measures of risk aversionmultivariate risk indexesrisk premium vector

Mathematics Subject Classification ID

Statistical methods; economic indices and measures (91B82) Utility theory (91B16)

Cited In (10)

• On multivariate prudence
• Multivariate risk premiums
• Univariate and multivariate measures of risk aversion and risk premiums
• Evolution of the Arrow-Pratt measure of risk-tolerance for predictable forward utility processes
• Possibilistic risk aversion in group decisions: theory with application in the insurance of giga-investments valued through the fuzzy pay-off method
• Discrete Arrow-Pratt indexes for risk and uncertainty
• Multivariate risk aversion with applications
• A strong (Ross) characterization of multivariate risk aversion
• Title not available (Why is that?)
• A contribution to duality theory, applied to the measurement of risk aversion

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