On the relationship between comparisons of risk aversion of different orders

Marzia De Donno and Mario Menegatti

Journal of Mathematical Economics, 2022, vol. 102, issue C

Abstract: We show conditions which ensure that the comparisons between risk aversion of different orders of two decision makers are related. In particular, we derive a condition ensuring that greater downside risk aversion implies greater risk aversion and a different condition ensuring that the opposite implication holds. We then generalize these results to higher order greater risk aversion, obtaining conditions which make it possible to infer the direction of the comparison for risk aversion of a given order from the knowledge of the direction for a different order.

Keywords: Greater risk aversion; Greater downside risk aversion; Strongly greater downside risk aversion; Greater nth degree risk aversion; Strongly greater nth degree risk aversion; Comparison of risk aversion (search for similar items in EconPapers)
Date: 2022
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:mateco:v:102:y:2022:i:c:s0304406822000854

DOI: 10.1016/j.jmateco.2022.102757

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