Stronger measures of higher-order risk attitudes

Michel M. Denuit and Louis Eeckhoudt

Journal of Economic Theory, 2010, vol. 145, issue 5, 2027-2036

Abstract: This paper aims to extend the results by Ross (1981) [15] and by Modica and Scarsini (2005) [13] to stochastic dominance of degree 4 and over. Specifically, it is shown that Ross' approach can be extended to any order of risk attitude beyond the generalization proposed by Modica and Scarsini by means of sth degree increase in risk defined by Ekern (1980) [8].

Keywords: Risk; aversion; Downside; risk; Prudence; Temperance; Increase; in; risk; Risk; apportionment (search for similar items in EconPapers)
Date: 2010
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Citations: View citations in EconPapers (43)

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Working Paper: Stronger measures of higher-order risk attitudes (2010)
Working Paper: Stronger measures of higher-order risk attitudes (2010)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:jetheo:v:145:y:2010:i:5:p:2027-2036

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