×

zbMATH — the first resource for mathematics

A note on comparative downside risk aversion. (English) Zbl 1114.91063
Summary: We provide comparative global conditions for downside risk aversion, which are similar to the ones studied by Ross for risk aversion. We define a coefficient of downside risk aversion, and study its local properties.

MSC:
91B30 Risk theory, insurance (MSC2010)
PDF BibTeX XML Cite
Full Text: DOI
References:
[1] Gollier, C.; Pratt, J.W., Risk vulnerability and the tempering effect of background risk, Econometrica, 64, 1109-1123, (1996) · Zbl 0856.90014
[2] J. Huang, Relationships between risk aversion, prudence, and cautiousness, Technical Report, Lancaster University, 2000.
[3] J. Huang, Characterization of option buyers and sellers, Technical Report, Lancaster University, 2000.
[4] Kimball, M.S., Precautionary saving in the small and in the large, Econometrica, 58, 1, 53-73, (1990)
[5] Leland, H.E., Who should buy portfolio insurance?, J. finance, 35, 581-594, (1968)
[6] Menegatti, M., On the conditions for precautionary saving, J. econom. theory, 98, 1, 189-193, (2001) · Zbl 1028.91568
[7] Menezes, C.; Geiss, C.; Tressler, J., Increasing downside risk, Amer. econom. rev., 70, 5, 921-932, (1980)
[8] Pratt, J.W., Risk aversion in the small and the large, Econometrica, 32, 122-136, (1964) · Zbl 0132.13906
[9] Pratt, J.W., The logic of partial-risk aversionparadox lost, J. risk uncertainty, 3, 103-115, (1990)
[10] Ross, S.A., Some stronger measures of risk aversion in the small and the large with applications, Econometrica, 49, 3, 621-638, (1981) · Zbl 0471.90016
This reference list is based on information provided by the publisher or from digital mathematics libraries. Its items are heuristically matched to zbMATH identifiers and may contain data conversion errors. It attempts to reflect the references listed in the original paper as accurately as possible without claiming the completeness or perfect precision of the matching.