A note on comparative downside risk aversion

• 成果类型: Article
• 署名作者: Modica, S; Scarsini, M
• 署名单位: University of Turin; University of Palermo
• 刊物名称: JOURNAL OF ECONOMIC THEORY
• ISSN/ISSBN: 0022-0531
• DOI: 10.1016/j.jet.2004.06.008
• 发表日期: 2005
• 页码: 267-271
• 关键词: Downside risk; Downside risk aversion; risk vulnerability

摘要

We provide comparative global conditions for downside risk aversion, which are similar to the ones studied by Ross for risk aversion. We define a coefficient of downside risk aversion, and study its local properties. (c) 2004 Elsevier Inc. All rights reserved.