Comparative risk aversion of different preferences

Richard Ruble

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Abstract: An article about Kihlstrom and Mirman about comparative risk aversion with many goods is critiqued. If "more risk averse" is interpreted as signifying that an individual is less willing to accept a median-preserving spread, then risk aversion cannot be compared across individuals with different preferences. If it is interpreted as signifying that an individual has a greater directional risk premium, then risk aversion may be compared across individuals with different preferences, in particular in partial equilibrium analysis.

Keywords: risk aversion; risk premium (search for similar items in EconPapers)
Date: 2011
New Economics Papers: this item is included in nep-neu and nep-upt
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Published in 2011

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Working Paper: Comparative risk aversion of different preferences (2011)
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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:halshs-00585615

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