Higher-order generalizations of Arrow-Pratt and Ross risk aversion: A comparative statics approach |
| |
Authors: | Paan Jindapon |
| |
Institution: | Department of Economics, Texas A&M University, 4228 TAMU, College Station, TX 77843-4228, USA |
| |
Abstract: | We analyze comparative risk aversion in a new way, through a comparative statics problem in which, for a cost, agents can shift from an initial probability distribution toward a preferred distribution. The Ross characterization arises when the original distribution is riskier than the preferred distribution and the cost is monetary, and the Arrow-Pratt characterization arises when the original distribution differs from the preferred distribution by a simple mean-preserving spread and the cost is a utility cost. Higher-order increases in risk lead to higher-order generalizations, and the comparative statics method yields a unified approach to the problem of comparative risk attitudes. |
| |
Keywords: | D81 |
本文献已被 ScienceDirect 等数据库收录! |
|