A note on comparative downside risk aversion

Marco Scarsini (1, 2) , Salvatore Modica (3)

1 GREGH - Groupement de Recherche et d'Etudes en Gestion à HEC
2 Dipartimento di Scienze Economiche e Aziendali
3 Università degli studi di Palermo - University of Palermo

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.

Keywords: Downside risk; Downside risk aversion; Risk vulnerability

Domains: Economy and decision science

Marco Scarsini, Salvatore Modica. A note on comparative downside risk aversion. International Journal of Economic Theory, 2005, Vol. 122, N°4, pp. 267-271. ⟨10.1016/j.jet.2004.06.008⟩. ⟨hal-00539126⟩