On the definition of risk aversion

DOI10.1007/BF00134104MaRDI QIDQ753618zbMATH OpenFDO

Authors Aldo Montesano

Publication date 1990

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

Full work available at URL https://doi.org/10.1007/BF00134104

zbMATH Keywords

nonexpected utilityrisk aversionrisk premium

Mathematics Subject Classification ID

Utility theory (91B16)

Review text

Two definitions of risk aversion are given. The former refers the measure of risk aversion to the risk premium. The latter defines risk aversion as a decreasing preference for an increasing risk. If the von Neumann- Morgenstern utility function exists both definitions are equivalent, in the other case not. Examples are given.

Recommendations

• The risk aversion measure without the independence axiom
• Measures of risk aversion with expected and nonexpected utility
• Uncertainty aversion and aversion to increasing uncertainty
• Monotone risk aversion
• Risk aversion: a qualitative approach and quantitative estimates

Cites work

• scientific article; zbMATH DE number 4118105 (Why is no real title available?)
• Risk aversion in the theory of expected utility with rank dependent probabilities
• Temporal risk and the nature of induced preferences
• The Dual Theory of Choice under Risk
• The ordinal utility under uncertainty and the measure of risk aversion in terms of preferences
• The risk aversion measure without the independence axiom

Cited in

(19)

• The ordinal utility under uncertainty and the measure of risk aversion in terms of preferences
• Measures of risk aversion with expected and nonexpected utility
• Global measures of risk aversion
• On risk aversion with two risks
• Risk aversion in the Talmud
• Monotone risk aversion
• One theory for two different risk premia
• On some classes of normed and risk averse preferences
• Risk aversion and risk vulnerability in the continuous and discrete case
• Restricted increases in risk aversion and their application
• Substituting one risk increase for another: a method for measuring risk aversion
• Risk aversion: a qualitative approach and quantitative estimates
• Uncertainty aversion and aversion to increasing uncertainty
• A comment on two concepts of risk premia and certainty equivalents
• What is risk aversion?
• Standard Risk Aversion
• Distortion risk measures, ambiguity aversion and optimal effort
• Monotone Risk Aversion
• First order versus second order risk aversion

This page was built for publication: On the definition of risk aversion

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q753618)