Measures of risk aversion with expected
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Aldo Montesano
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Article
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1991
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Springer
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English
โ 647 KB
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