The Generating Process and an Extension of Jewitt's Location Independent Risk Concept

Michael Landsberger and Isaac Meilijson
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Michael Landsberger: Department of Economics, Haifa University, Haifa, Israel
Isaac Meilijson: School of Mathematical Sciences, Raymond and Beverly Sackler Faculty of Exact Sciences, Tel-Aviv University, Tel-Aviv, Israel

Management Science, 1994, vol. 40, issue 5, 662-669

Abstract: A generating process of Jewitt's location independent risk concept is derived in terms of left stretches based on single crossings between distributions. For concave nondecreasing utility functions this stochastic order preserves monotonicity between risk premium and the Arrow-Pratt measure of risk aversion. We show that a stronger order, the Bickel-Lehmann notion of dispersion, preserves this monotonicity for the larger class of nondecreasing utilities.

Keywords: location independent risk; Arrow-Pratt measure; Bickel-Lehmann dispersion; risk premium (search for similar items in EconPapers)
Date: 1994
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Persistent link: https://EconPapers.repec.org/RePEc:inm:ormnsc:v:40:y:1994:i:5:p:662-669

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