On the robustness of the Arrow-Pratt risk aversion measure
β 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.
π SIMILAR VOLUMES
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
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