On the intensity of downside risk aversion

详细信息    查看全文

• 作者：David Crainich and Louis Eeckhoudt
• 关键词：Downside risk aversion ; Measure ; Intensity
• 刊名：Journal of Risk and Uncertainty
• 出版年：2008
• 出版时间：June, 2008
• 年：2008
• 卷：36
• 期：3
• 页码：267-276
• 全文大小：261.8 KB

文摘

The degree of downside risk aversion (or equivalently prudence) is so far usually measured by \frac-U¡é¡é¡éU¡é¡é\frac{-U^{\prime \prime \prime }}{U^{\prime \prime }}. We propose here another measure, \fracU¡é¡é¡éU¡é\frac{U^{\prime \prime \prime }}{U^{\prime }}, which has specific and interesting local and global properties. Some of these properties are to a wide extent similar to those of the classical measure of absolute risk aversion, which is not always the case for \frac -U¡é¡é¡éU¡é¡é\frac{ -U^{\prime \prime \prime }}{U^{\prime \prime }}. It also appears that the two measures are not mutually exclusive. Instead, they seem to be rather complementary as shown through an economic application dealing with a simple general equilibrium model of savings.