We provide comparative global conditions for downside risk aversion, which are similar to the ones studied by Ross for risk aversion. We define a coefficient of downside risk aversion, and study its local properties.
A note on downside risk aversion / Modica, S.; Scarsini, Marco. - In: JOURNAL OF ECONOMIC THEORY. - ISSN 0022-0531. - 122:(2005), pp. 267-271. [10.1016/j.jet.2004.06.008]
A note on downside risk aversion.
SCARSINI, MARCO
2005
Abstract
We provide comparative global conditions for downside risk aversion, which are similar to the ones studied by Ross for risk aversion. We define a coefficient of downside risk aversion, and study its local properties.
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