Please use this identifier to cite or link to this item:
http://dspace.mediu.edu.my:8181/xmlui/handle/10261/1892| Title: | Stochastic Dominance and Absolute Risk Aversion |
| Keywords: | Risk aversion Stochastic Dominance Thriftiness |
| Description: | Trabajo publicado como artículo en Social Choice and Welfare 28(1): 89-110 (2007).-- http://dx.doi.org/10.1007/s00355-006-0151-x In this paper we propose the infimum of the Arrow-Pratt index of absolute risk aversion as a measure of global risk aversion of a utility function. We then show that, for any given arbitrary pair of distributions, there exists a threshold level of global risk aversion such that all increasing concave utility functions with at least as much global risk aversion would rank the two distributions in the same way. Furthermore, this threshold level is sharp in the sense that, for any lower level of global risk aversion, we can find two utility functions in this class yielding opposite preference relations for the two distributions. Financial support from the Spanish Ministry of Science and Technology through grants SEC2000-0684 and SEC 2000-1326, and from the Generalitat of Catalonia through grant SGR2001-00162 is gratefully acknowledged. |
| URI: | http://dspace.mediu.edu.my:8181/xmlui/handle/10261/1892 |
| Other Identifiers: | http://hdl.handle.net/10261/1892 |
| Appears in Collections: | Digital Csic |
Files in This Item:
There are no files associated with this item.
Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.