Anti-comonotone random variables and anti-monotone risk aversion

Moez Abouda () and Elyess Farhoud ()
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Moez Abouda: Centre d'Economie de la Sorbonne and BESTMOD, https://centredeconomiesorbonne.cnrs.fr
Elyess Farhoud: Ecole Polytechnique de Tunisie and BESTMOD

Documents de travail du Centre d'Economie de la Sorbonne from Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne

Abstract: This paper focuses on the study of decision making under risk. We first recall some model-free definitions of risk aversion and increase in risk. We propose a new form of behavior under risk that we call anti-monotone risk aversion (hererafter referred to as ARA) related to the concept of anti-comonotony a concept investigated in Abouda, Aouani and Chateauneuf (2008). Note that many research has already been done in this field e.g. through the theory of comonotonicity. We give relationships between comonotone, strict comonotone, anti-comonotone and strict anti-comonotone random variables. Then, after the motivation of ARA, we show that this new aversion is weaker than monotone risk aversion while stronger than weak risk aversion

Keywords: Risk aversion; model-free concepts; comonotone; strict comonotone; anti-comonotone; strict anti-comonotone; anti-monotone risk aversion (search for similar items in EconPapers)
JEL-codes: D80 D81 G12 (search for similar items in EconPapers)
Pages: 29 pages
Date: 2010-06
New Economics Papers: this item is included in nep-upt
References: View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:mse:cesdoc:10047

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