On the intensity of downside risk aversion

David Crainich and Louis Eeckhoudt

No 2007088, LIDAM Discussion Papers CORE from Université catholique de Louvain, Center for Operations Research and Econometrics (CORE)

Abstract: The degree of downside risk aversion (or equivalently prudence) is so far usually measured by -U'''/U''. We propose here another measure, U'''/U', which has interesting properties, different from those related to -U'''/U''. It also appears that the two measures are not mutually exclusive. Instead, they seem to be rather complementary as shown through an economic application.

Keywords: downside risk aversion; prudence; local and global properties (search for similar items in EconPapers)
JEL-codes: D81 (search for similar items in EconPapers)
Date: 2007-11-01
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Citations: View citations in EconPapers (5)

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Related works:
Working Paper: On the intensity of downside risk aversion (2009)
Journal Article: On the intensity of downside risk aversion (2008)
Working Paper: On the intensity of downside risk aversion (2008)
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Persistent link: https://EconPapers.repec.org/RePEc:cor:louvco:2007088

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