Comparative risk aversion of different preferences

Richard Ruble

No 1119, Working Papers from Groupe d'Analyse et de Théorie Economique Lyon St-Étienne (GATE Lyon St-Étienne), Université de Lyon

Abstract: An article about Kihlstrom and Mirman about comparative risk aversion with many goods is critiqued. If "more risk averse" is interpreted as signifying that an individual is less willing to accept a median-preserving spread, then risk aversion cannot be compared across individuals with different preferences. If it is interpreted as signifying that an individual has a greater directional risk premium, then risk aversion may be compared across individuals with different preferences, in particular in partial equilibrium analysis.

Keywords: risk aversion; risk premium (search for similar items in EconPapers)
JEL-codes: D81 G11 (search for similar items in EconPapers)
Date: 2011
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Working Paper: Comparative risk aversion of different preferences (2011)
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