Reversibly greater downside risk aversion by a prudence-based measure

Donald Keenan and Arthur Snow

Economics Letters, 2022, vol. 210, issue C

Abstract: We show that p−3r and r increasing, that is, both being greater for utility v than for u, implies greater downside risk aversion for v, where r is the Arrow–Pratt measure and p is the prudence measure. Moreover, this property is reversible, in that p−3r and r together decreasing implies less downside risk aversion.

Keywords: Prudence; Risk aversion; Downside risk aversion (search for similar items in EconPapers)
JEL-codes: D81 (search for similar items in EconPapers)
Date: 2022
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:210:y:2022:i:c:s0165176521004456

DOI: 10.1016/j.econlet.2021.110188

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