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Article: Greater Arrow–Pratt (Absolute) Risk Aversion of Higher Orders

TitleGreater Arrow–Pratt (Absolute) Risk Aversion of Higher Orders
Authors
Liu, LWong, KP
KeywordsComparative risk aversion
Mixed risk aversion
Stochastic dominance
Issue Date2019
PublisherElsevier BV. The Journal's web site is located at http://www.elsevier.com/locate/jmateco
Citation
Journal of Mathematical Economics, 2019, v. 82, p. 112-124 How to Cite?
DOI: http://dx.doi.org/10.1016/j.jmateco.2019.01.008
AbstractHigher-order risk attitudes are related to higher-order moments of risk, and are unequivocally characterized by the signs and levels of higher-order derivatives of utility functions. In contrast to the direction of higher-degree risk aversion, the intensity of higher-degree risk aversion beyond the Arrow-Pratt measure of absolute risk aversion is far from conclusive. The purpose of this paper is to develop a unified framework of greater (m, n)th-degree mixed risk aversion in the Arrow-Pratt tradition, which includes many competing notions of greater higher-degree (absolute) risk aversion proposed in the extant literature as special cases. Properties of greater (m, n)th-degree mixed risk aversion are studied, a choice-based characterization is established, and several applications are presented.
Persistent Identifierhttp://hdl.handle.net/10722/268264
ISSN
0304-4068
2021 Impact Factor: 0.747
2020 SCImago Journal Rankings: 0.840
ISI Accession Number ID
WOS:000468011500008

 

DC FieldValueLanguage
dc.contributor.authorLiu, L-
dc.contributor.authorWong, KP-
dc.date.accessioned2019-03-18T04:22:00Z-
dc.date.available2019-03-18T04:22:00Z-
dc.date.issued2019-
dc.identifier.citationJournal of Mathematical Economics, 2019, v. 82, p. 112-124-
dc.identifier.issn0304-4068-
dc.identifier.urihttp://hdl.handle.net/10722/268264-
dc.description.abstractHigher-order risk attitudes are related to higher-order moments of risk, and are unequivocally characterized by the signs and levels of higher-order derivatives of utility functions. In contrast to the direction of higher-degree risk aversion, the intensity of higher-degree risk aversion beyond the Arrow-Pratt measure of absolute risk aversion is far from conclusive. The purpose of this paper is to develop a unified framework of greater (m, n)th-degree mixed risk aversion in the Arrow-Pratt tradition, which includes many competing notions of greater higher-degree (absolute) risk aversion proposed in the extant literature as special cases. Properties of greater (m, n)th-degree mixed risk aversion are studied, a choice-based characterization is established, and several applications are presented.-
dc.languageeng-
dc.publisherElsevier BV. The Journal's web site is located at http://www.elsevier.com/locate/jmateco-
dc.relation.ispartofJournal of Mathematical Economics-
dc.rightsThis work is licensed under a Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License.-
dc.subjectComparative risk aversion-
dc.subjectMixed risk aversion-
dc.subjectStochastic dominance-
dc.titleGreater Arrow–Pratt (Absolute) Risk Aversion of Higher Orders-
dc.typeArticle-
dc.identifier.emailWong, KP: kpwongc@hkucc.hku.hk-
dc.identifier.authorityWong, KP=rp01112-
dc.description.naturepostprint-
dc.identifier.doi10.1016/j.jmateco.2019.01.008-
dc.identifier.scopuseid_2-s2.0-85062500725-
dc.identifier.hkuros297194-
dc.identifier.volume82-
dc.identifier.spage112-
dc.identifier.epage124-
dc.identifier.isiWOS:000468011500008-
dc.publisher.placeNetherlands-
dc.identifier.issnl0304-4068-

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