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Journal Articles International Journal of Economic Theory Year : 2005

A note on comparative downside risk aversion

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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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hal-00539126 , version 1 (24-11-2010)

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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⟩

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