A note on greater downside risk aversion

Richard Watt ()

ICER Working Papers from ICER - International Centre for Economic Research

Abstract: This paper characterizes downside risk aversion in a simple and intuitive manner. It is shown that using this characterization one can simplify considerably a theorem by Jindapon (2010) relating to greater downside risk aversion as measured by the prudence probability premium. The comparative statics of downside risk aversion in risk-free wealth are also considered.

Keywords: downside risk aversion; prudence (search for similar items in EconPapers)
JEL-codes: D8 (search for similar items in EconPapers)
Pages: 7 pages
Date: 2011-11
New Economics Papers: this item is included in nep-mic and nep-upt
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:icr:wpicer:17-2011

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