A note on fourth-order risk aversion
Yoshitaka Sakagami ()
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Yoshitaka Sakagami: Otemon Gakuin University
Decisions in Economics and Finance, 2016, vol. 39, issue 1, pages 105-111
Abstract Keenan et al. (J Risk Uncertain 24:264–277, 2002) introduced a measure of downside risk aversion (third-order risk aversion), and in Theorem 1, they showed four equivalent definitions of increased downside risk aversion. This result is thought as a higher-order extension of Theorem 3 in Diamond et al. (J Econ Theory 8:337–360, 1974). We consider fourth-order risk aversion and show four equivalent definitions of increased fourth-order risk aversion. Our result is thought as a higher-order extension of Theorem 1 in Keenan et al. (2002).
Keywords: Utility distribution; Increased fourth-order risk aversion; Fourth-order increase in risk for utility; An index of fourth-order risk aversion (search for similar items in EconPapers)
JEL-codes: D81 (search for similar items in EconPapers)
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