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.
MODICA S, SCARSINI MARCO (2005). A note on comparative downside risk aversion. JOURNAL OF ECONOMIC THEORY, 122(2), 267-271 [10.1016/j.jet.2004.06.008].
A note on comparative downside risk aversion
MODICA, Salvatore;
2005-01-01
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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