On the intensity of downside risk aversion

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The degree of downside risk aversion (or equivalently prudence) is so far usually measured by

We propose here another measure,

which has specific and interesting local and global properties. Some of these properties are to a wide extent similar to those of the classical measure of absolute risk aversion, which is not always the case for

It also appears that the two measures are not mutually exclusive. Instead, they seem to be rather complementary as shown through an economic application dealing with a simple general equilibrium model of savings.

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