Incremental risk aversion and diversification preference
成果类型：
Article
署名作者：
Hong, CS; Herk, LF
署名单位：
Hong Kong University of Science & Technology; Columbia University; University of Warsaw
刊物名称：
JOURNAL OF ECONOMIC THEORY
ISSN/ISSBN：
0022-0531
发表日期：
1996
页码：
180-200
关键词：
摘要：
The class of mean-independent incremental risks defined with respect tfr an initial risk, or status quo, is shown tu coincide with the vector space of incremental risks generated from risks that are individually independent of the status quo. Using this characterization of mean independence, aversion toward independent risk increases, together with diversification preference for mean-independent risk increases, implies aversion toward mean-independent risk increases. By contrast, a nondiversifier who is averse ro independent risk increases may nonetheless strictly prefer certain mean-preserving increases in risk. Journal of Economic Literature Classification Numbers: D80 DSI. (C) 1996 Academic Press. Inc.