On bivariate risk aversion
โ Scribed by Christophe Courbage
- Publisher
- Springer US
- Year
- 2002
- Tongue
- English
- Weight
- 101 KB
- Volume
- 30
- Category
- Article
- ISSN
- 0197-4254
No coin nor oath required. For personal study only.
๐ SIMILAR VOLUMES
Two definitions of risk aversion have recently been proposed for nonexpected utility theories of choice under uncertainty: the former refers the measure of risk aversion (Montesano 1985(Montesano , 1986(Montesano and 1988) ) directly to the risk premium (i.e. to the difference between the expected v
## Abstract This article examines the effect of disappointment aversion on futures hedging. We incorporated a constantโabsoluteโriskโaversion (CARA) utility function into the disappointmentโaversion framework of Gul (1991). It is shown that a more disappointmentโaverse hedger will choose an optimal