File Download
Links for fulltext
(May Require Subscription)
- Publisher Website: 10.1016/j.jmateco.2019.01.008
- Scopus: eid_2-s2.0-85062500725
- WOS: WOS:000468011500008
- Find via
Supplementary
- Citations:
- Appears in Collections:
Article: Greater Arrow–Pratt (Absolute) Risk Aversion of Higher Orders
Title | Greater Arrow–Pratt (Absolute) Risk Aversion of Higher Orders |
---|---|
Authors | |
Keywords | Comparative risk aversion Mixed risk aversion Stochastic dominance |
Issue Date | 2019 |
Publisher | Elsevier BV. The Journal's web site is located at http://www.elsevier.com/locate/jmateco |
Citation | Journal of Mathematical Economics, 2019, v. 82, p. 112-124 How to Cite? |
Abstract | Higher-order risk attitudes are related to higher-order moments of risk, and are unequivocally characterized by the signs and levels of higher-order derivatives of utility functions. In contrast to the direction of higher-degree risk aversion, the intensity of higher-degree risk aversion beyond the Arrow-Pratt measure of absolute risk aversion is far from conclusive. The purpose of this paper is to develop a unified framework of greater (m, n)th-degree mixed risk aversion in the Arrow-Pratt tradition, which includes many competing notions of greater higher-degree (absolute) risk aversion proposed in the extant literature as special cases. Properties of greater (m, n)th-degree mixed risk aversion are studied, a choice-based characterization is established, and several applications are presented. |
Persistent Identifier | http://hdl.handle.net/10722/268264 |
ISSN | 2023 Impact Factor: 1.0 2023 SCImago Journal Rankings: 0.707 |
ISI Accession Number ID |
DC Field | Value | Language |
---|---|---|
dc.contributor.author | Liu, L | - |
dc.contributor.author | Wong, KP | - |
dc.date.accessioned | 2019-03-18T04:22:00Z | - |
dc.date.available | 2019-03-18T04:22:00Z | - |
dc.date.issued | 2019 | - |
dc.identifier.citation | Journal of Mathematical Economics, 2019, v. 82, p. 112-124 | - |
dc.identifier.issn | 0304-4068 | - |
dc.identifier.uri | http://hdl.handle.net/10722/268264 | - |
dc.description.abstract | Higher-order risk attitudes are related to higher-order moments of risk, and are unequivocally characterized by the signs and levels of higher-order derivatives of utility functions. In contrast to the direction of higher-degree risk aversion, the intensity of higher-degree risk aversion beyond the Arrow-Pratt measure of absolute risk aversion is far from conclusive. The purpose of this paper is to develop a unified framework of greater (m, n)th-degree mixed risk aversion in the Arrow-Pratt tradition, which includes many competing notions of greater higher-degree (absolute) risk aversion proposed in the extant literature as special cases. Properties of greater (m, n)th-degree mixed risk aversion are studied, a choice-based characterization is established, and several applications are presented. | - |
dc.language | eng | - |
dc.publisher | Elsevier BV. The Journal's web site is located at http://www.elsevier.com/locate/jmateco | - |
dc.relation.ispartof | Journal of Mathematical Economics | - |
dc.rights | This work is licensed under a Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License. | - |
dc.subject | Comparative risk aversion | - |
dc.subject | Mixed risk aversion | - |
dc.subject | Stochastic dominance | - |
dc.title | Greater Arrow–Pratt (Absolute) Risk Aversion of Higher Orders | - |
dc.type | Article | - |
dc.identifier.email | Wong, KP: kpwongc@hkucc.hku.hk | - |
dc.identifier.authority | Wong, KP=rp01112 | - |
dc.description.nature | postprint | - |
dc.identifier.doi | 10.1016/j.jmateco.2019.01.008 | - |
dc.identifier.scopus | eid_2-s2.0-85062500725 | - |
dc.identifier.hkuros | 297194 | - |
dc.identifier.volume | 82 | - |
dc.identifier.spage | 112 | - |
dc.identifier.epage | 124 | - |
dc.identifier.isi | WOS:000468011500008 | - |
dc.publisher.place | Netherlands | - |
dc.identifier.issnl | 0304-4068 | - |