Reversibly greater downside risk aversion by a prudence-based measure
Résumé
We show that p − 3r and r increasing, that is, both being greater for utility v than for u, implies greater downside risk aversion for v, where r is the Arrow–Pratt measure and p is the prudence measure. Moreover, this property is reversible, in that p − 3r and r together decreasing implies less downside risk aversion.
Domaines
Sciences de l'Homme et SociétéOrigine | Fichiers produits par l'(les) auteur(s) |
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