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On the robustness of the Arrow-Pratt risk aversion measure

✍ Scribed by J.G. Kallberg; W.T. Ziemba


Book ID
116098802
Publisher
Elsevier Science
Year
1979
Tongue
English
Weight
339 KB
Volume
2
Category
Article
ISSN
0165-1765

No coin nor oath required. For personal study only.


πŸ“œ SIMILAR VOLUMES


The logic of partial-risk aversion: Para
✍ John W. Pratt πŸ“‚ Article πŸ“… 1990 πŸ› Springer 🌐 English βš– 518 KB

One rational individual may be willing to pay less than another to insure a risk ~ when another risk ri, is present even though he would pay more to insure any isolated risk, and even though E(~ [~i,) = 0 for all w. Noticing this, Ross (1981) proposed excluding such reversals and gave equivalent ana

On the definition of risk aversion
✍ Aldo Montesano πŸ“‚ Article πŸ“… 1990 πŸ› Springer US 🌐 English βš– 557 KB

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