A Note on the Intensity of Downside Risk Aversion

Francisco J. Vazquez and Richard Watt ()

ICER Working Papers from ICER - International Centre for Economic Research

Abstract: In this note we show that the measure of intensity of downside risk aversion proposed recently by Crainich and Eeckhoudt (2007) cannot be guaranteed to exist. We do this by means of an example in which the existence of the measure depends upon the values of the parameters in the problem.

Keywords: risk aversion; prudence; downside risk (search for similar items in EconPapers)
JEL-codes: D81 (search for similar items in EconPapers)
Pages: 11 pages
Date: 2010-10
New Economics Papers: this item is included in nep-upt
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Persistent link: https://EconPapers.repec.org/RePEc:icr:wpicer:24-2010

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