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Measures of risk aversion with many commodities

โœ Scribed by Dilip B. Madan

Book ID
116099383
Publisher
Elsevier Science
Year
1983
Tongue
English
Weight
385 KB
Volume
11
Category
Article
ISSN
0165-1765

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In the expected utility case, the risk-aversion measure is given by the Arrow-Pratt index. Three proposals of a risk-aversion measure for the nonexpected utility case are examined. The first one sets "the second derivative of the acceptance frontier as a measure of local risk aversion." The second o