TY - JOUR
T1 - On the relationship between comparisons of risk aversion of different orders
AU - De Donno, Marzia
AU - Menegatti, Mario
PY - 2022
Y1 - 2022
N2 - We show conditions which ensure that the comparisons between risk aversion of different orders of two decision makers are related. In particular, we derive a condition ensuring that greater downside risk aversion implies greater risk aversion and a different condition ensuring that the opposite implication holds. We then generalize these results to higher order greater risk aversion, obtaining conditions which make it possible to infer the direction of the comparison for risk aversion of a given order from the knowledge of the direction for
a different order.
AB - We show conditions which ensure that the comparisons between risk aversion of different orders of two decision makers are related. In particular, we derive a condition ensuring that greater downside risk aversion implies greater risk aversion and a different condition ensuring that the opposite implication holds. We then generalize these results to higher order greater risk aversion, obtaining conditions which make it possible to infer the direction of the comparison for risk aversion of a given order from the knowledge of the direction for
a different order.
KW - comparison of risk aversion
KW - greater downside risk aversion
KW - greater nth degree risk aversion,
KW - greater risk aversion
KW - strongly greater downside risk aversion
KW - strongly greater nth degree risk aversion,
KW - comparison of risk aversion
KW - greater downside risk aversion
KW - greater nth degree risk aversion,
KW - greater risk aversion
KW - strongly greater downside risk aversion
KW - strongly greater nth degree risk aversion,
UR - http://hdl.handle.net/10807/215324
U2 - 10.1016/j.jmateco.2022.102757
DO - 10.1016/j.jmateco.2022.102757
M3 - Article
SN - 0304-4068
VL - 102
SP - 1
EP - 9
JO - Journal of Mathematical Economics
JF - Journal of Mathematical Economics
ER -