Decreasing downside risk aversion and background risk

in Journal of Mathematical Economics, 53

ISSN : 0304-4068

par Crainich, David ; Eeckhoudt, Louis ; Le Courtois, Olivier (1975-....)

2014 - 59-63 p. | En anglais

In this paper, we indicate that risk vulnerability can be associated with the concept of downside risk aversion (DRA) and an assumption about its behavior, namely that it is decreasing in wealth. Specifically, decreasing downside risk aversion in the Arrow-Pratt and Ross senses are respectively necessary and sufficient for a background risk to raise the aversion to other independent risks.

Voir la revue «Journal of Mathematical Economics»

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