scholarly journals Comparative Risk Aversion: A Formal Approach with Applications to Saving Behaviors

2010 ◽  
Author(s):  
Antoine Bommier ◽  
Arnold Chassagnon ◽  
Francois Le Grand
Keyword(s):  
Risk Aversion ◽  
Formal Approach ◽  
Comparative Risk ◽  
Comparative Risk Aversion

Comparative risk aversion: A formal approach with applications to saving behavior

2012 ◽  
Vol 147 (4) ◽  
pp. 1614-1641 ◽  
Author(s):  
Antoine Bommier ◽  
Arnold Chassagnon ◽  
François Le Grand
Keyword(s):  
Risk Aversion ◽  
Formal Approach ◽  
Comparative Risk ◽  
Saving Behavior ◽  
Comparative Risk Aversion

scholarly journals Risk aversion over finite domains

2021 ◽  
Author(s):  
Jean Baccelli ◽  
Georg Schollmeyer ◽  
Christoph Jansen
Keyword(s):  
Risk Aversion ◽  
Expected Utility ◽  
Absolute Risk ◽  
Risk Attitudes ◽  
Convex Domains ◽  
Rank Dependent Utility ◽  
Comparative Risk ◽  
Finite Domains ◽  
Comparative Risk Aversion ◽  
Special Case

AbstractWe investigate risk attitudes when the underlying domain of payoffs is finite and the payoffs are, in general, not numerical. In such cases, the traditional notions of absolute risk attitudes, that are designed for convex domains of numerical payoffs, are not applicable. We introduce comparative notions of weak and strong risk attitudes that remain applicable. We examine how they are characterized within the rank-dependent utility model, thus including expected utility as a special case. In particular, we characterize strong comparative risk aversion under rank-dependent utility. This is our main result. From this and other findings, we draw two novel conclusions. First, under expected utility, weak and strong comparative risk aversion are characterized by the same condition over finite domains. By contrast, such is not the case under non-expected utility. Second, under expected utility, weak (respectively: strong) comparative risk aversion is characterized by the same condition when the utility functions have finite range and when they have convex range (alternatively, when the payoffs are numerical and their domain is finite or convex, respectively). By contrast, such is not the case under non-expected utility. Thus, considering comparative risk aversion over finite domains leads to a better understanding of the divide between expected and non-expected utility, more generally, the structural properties of the main models of decision-making under risk.

Comparative risk aversion

1988 ◽  
Vol 27 (4) ◽  
pp. 321-325 ◽  
Author(s):  
Lars Tyge Nielsen
Keyword(s):  
Risk Aversion ◽  
Comparative Risk ◽  
Comparative Risk Aversion

scholarly journals Comparative Risk Aversion under Background Risk Revisited

2010 ◽  
Vol 2010 ◽  
pp. 1-5
Author(s):  
Masamitsu Ohnishi ◽  
Yusuke Osaki
Keyword(s):  
Risk Aversion ◽  
Utility Function ◽  
Background Risk ◽  
Empirical Literature ◽  
Sufficient Condition ◽  
Von Neumann ◽  
Single Crossing ◽  
Comparative Risk ◽  
Comparative Risk Aversion

This paper determines a new sufficient condition of the (von Neumann-Morgenstern) utility function that preserves comparative risk aversion under background risk. It is the single crossing condition of risk aversion. Because this condition requires monotonicity in the local sense, it may satisfy the U-shaped risk aversion observed in the recent empirical literature.

Sign in / Sign up

Export Citation Format

Share Document