The convexity-cone approach to comparative risk and downside risk

Salvatore Modica () and Marco Scarsini

ICER Working Papers - Applied Mathematics Series from ICER - International Centre for Economic Research

Abstract: Based on Jewitt (1986) we try to find a characterization of comparative downside risk aversion and love. The desired characterizations involve the decomposition of the dual of the intersection of two convexity cones. The decomposition holds in the case of downside risk love, but not in the case of downside risk aversion. A counterexample is provided.

Keywords: Convexity cones; risk; downside risk; risk aversion; dual cones (search for similar items in EconPapers)
JEL-codes: D81 (search for similar items in EconPapers)
Pages: 16 pages
Date: 2003-01
New Economics Papers: this item is included in nep-fin and nep-rmg
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Citations: View citations in EconPapers (8)

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Persistent link: https://EconPapers.repec.org/RePEc:icr:wpmath:01-2003

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