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Article Dans Une Revue Economics Letters Année : 2022

Reversibly greater downside risk aversion by a prudence-based measure

Résumé

We show that p − 3r and r increasing, that is, both being greater for utility v than for u, implies greater downside risk aversion for v, where r is the Arrow–Pratt measure and p is the prudence measure. Moreover, this property is reversible, in that p − 3r and r together decreasing implies less downside risk aversion.
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hal-04315611 , version 1 (22-07-2024)

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Donald Keenan, Arthur Snow. Reversibly greater downside risk aversion by a prudence-based measure. Economics Letters, 2022, 210, pp.110188. ⟨10.1016/j.econlet.2021.110188⟩. ⟨hal-04315611⟩
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