Alternative Approaches to Comparative nth-Degree Risk Aversion

• 成果类型: Article
• 署名作者: Liu, Liqun; Neilson, William S.
• 署名单位: Texas A&M University System; Texas A&M University College Station; University of Tennessee System; University of Tennessee Knoxville
• 刊物名称: MANAGEMENT SCIENCE
• ISSN/ISSBN: 0025-1909
• DOI: 10.1287/mnsc.2018.3119
• 发表日期: 2019
• 页码: 3824-3834
• 关键词: Risk aversion; Comparative risk aversion; Risk premium; probability premium; Downside risk aversion

摘要

This paper extends the three main approaches to comparative risk aversion-the risk premium approach and the probability premium approach of Pratt (1964) [Risk aversion in the small and in the large. Econometrica 32(1-2):122-136] and the comparative statics approach of Jindapon and Neilson (2007) [Higher-order generalizations of Arrow-Pratt and Ross risk aversion: A comparative statics approach. J. Econom. Theory 136(1):719-728]-to study comparative nth-degree risk aversion. These extensions can accommodate trading off an nth-degree risk increase and an nth-degree risk increase for any m, such that 1 <= m < n. It goes on to show that, in the expected utility framework, all of these general notions of comparative nth-degree risk aversion are equivalent and can be characterized by the concept of (n/m)th-degree Ross more risk aversion of Liu and Meyer (2013) [Substituting one risk increase for another: A method for measuring risk aversion.