Monotone risk aversion

Economic Theory

Volumn 25, Issue 1, 2005, Pages 203-215

  Nielsen, Lars Tyge ^a  

^a MORGAN STANLEY   (United States)

Author keywords

Absolute risk aversion; Cumulative absolute risk aversion; Cumulative relative risk aversion; Decreasing risk aversion; Increasing risk aversion; Relative risk aversion

Indexed keywords

EID: 21244499408     PISSN: 09382259     EISSN: None     Source Type: Journal    
DOI: 10.1007/s00199-004-0471-y     Document Type: Conference Paper

References (12)

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2. Reprinted in: Arrow, K.J. (ed.) Essays in the theory of risk bearing. Chicago: Markham 1971
3. Billingsley, P.: Probability and measure, 2nd edn. New York: Wiley 1986
4. Dubins, L.E., Savage, L.J.: How to gamble if you must: inequalities for stochastic processes. New York: McGraw-Hill 1965
5. Dubins, L.E., Savage, L.J.: Inequalities for stochastic processes: how to gamble if you must. New York: Dover 1976
6. Dybvig, PH., Lippman, S.A.: An alternative characterization of decreasing absolute risk aversion. Econometrica 51, 223-224 (1983)
7. Pratt, J.W.: Risk aversion in the small and in the large. Econometrica 32, 122-136 (1964)
8. Rockafellar, R.T.: Convex analysis. Princeton: Princeton University 1970
9. Vickson, R.G.: Stochastic dominance for decreasing absolute risk aversion. Journal of Financial and Quantitative Analysis 10, 799-811 (1975)
10. Vickson, R.G.: Stochastic dominance tests for decreasing absolute risk aversion. I. Discrete random variables. Management Science 21(12), 1438-1446 (1975)
11. Vickson, R.G.: Stochastic dominance tests for decreasing absolute risk aversion. II. General random variables. Management Science 23, 478-489 (1977)
12. Yaari, M.E.: Some remarks on measures of risk aversion and on their uses. Journal of Economic Theory 1, 315-329 (1969)