A Simple Measure of Risk Aversion in the Large and an Application

Papers from Universite catholique de Louvain - Center for Operations Research and Economics (CORE)

Abstract: We introduce a simple measure of risk aversion in the large. Besides satisfying properties which are conceptually analogous to the usual properties of the Arrow-Pratt measure, the index of risk aversion in the large leads to a stronger concept of decreasing risk aversion, which necessarily imp lies decreasing absolute risk aversion but not necessarily non-increasing relative risk aversion.

Keywords: RISK; INDEXES; UTILITY FUNCTIONS (search for similar items in EconPapers)
JEL-codes: D80 D81 D82 H21 (search for similar items in EconPapers)
Date: Written 2000
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Persistent link: http://EconPapers.repec.org/RePEc:fth:louvco:0041

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