Higher-order generalizations of Arrow-Pratt and Ross risk aversion: A comparative statics approach

• 成果类型: Article
• 署名作者: Jindapon, Paan; Neilson, William S.
• 署名单位: Texas A&M University System; Texas A&M University College Station
• 刊物名称: JOURNAL OF ECONOMIC THEORY
• ISSN/ISSBN: 0022-0531
• DOI: 10.1016/j.jet.2006.03.010
• 发表日期: 2007
• 页码: 719-728
• 关键词: Risk aversion; comparative statics; Downside risk; prudence; increases in risk

摘要

We analyze comparative risk aversion in a new way, through a comparative statics problem in which, for a cost, agents can shift from an initial probability distribution toward a preferred distribution. The Ross characterization arises when the original distribution is riskier than the preferred distribution and the cost is monetary, and the Arrow-Pratt characterization arises when the original distribution differs from the preferred distribution by a simple mean-preserving spread and the cost is a utility cost. Higher-order increases in risk lead to higher-order generalizations, and the comparative statics method yields a unified approach to the problem of comparative risk attitudes. (C) 2006 Elsevier Inc. All rights reserved.