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From sure to strong diversification

Alain Chateauneuf () and Ghizlane Lakhnati

Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) from HAL

Abstract: This paper presents a characterization of weak risk aversion in terms of preference for sure diversification. Similarly, we show that strong risk aversion can be characterized by weakening preference for diversification,as introduced by Dekel (Econometrica 57:163,1989), in what we call preference for strong diversification.

Keywords: Weak risk aversion; Strong risk aversion; Diversification (search for similar items in EconPapers)
Date: 2007-09
Note: View the original document on HAL open archive server: https://hal.archives-ouvertes.fr/hal-00271265
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Published in Economic Theory, Springer Verlag, 2007, 32 (3), pp.511-522. ⟨10.1007/s00199-006-0126-2⟩

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Persistent link: https://EconPapers.repec.org/RePEc:hal:cesptp:hal-00271265

DOI: 10.1007/s00199-006-0126-2

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