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From sure to strong diversification
Authors:Alain Chateauneuf  Ghizlane Lakhnati
Affiliation:1.CERMSEM-Université de Paris 1,Paris Cedex 13,France
Abstract:This paper presents a characterization of weak risk aversion in terms of preference for sure diversification. Similarly, we show that strong risk aversion can be characterized by weakening preference for diversification,as introduced by Dekel (Econometrica 57:163,1989), in what we call preference for strong diversification. We are grateful to Jean-Yves Jaffray, Peter Wakker and anonymous reference for very helpful suggestions and comments.
Keywords:Weak risk aversion  Strong risk aversion  Diversification
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