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A general index of absolute risk attitude

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  • Denuit, M.
  • Eeckhoudt L.

Abstract

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Suggested Citation

  • Denuit, M. & Eeckhoudt L., 2010. "A general index of absolute risk attitude," LIDAM Discussion Papers ISBA 2010013, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    • Handle: RePEc:aiz:louvad:2010013
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    Cited by:

    1. Guo, Xu & Zhu, Xuehu & Wong, Wing-Keung & Zhu, Lixing, 2013. "A note on almost stochastic dominance," Economics Letters, Elsevier, vol. 121(2), pages 252-256.
    2. Xu, Guo & Wing-Keung, Wong & Lixing, Zhu, 2013. "Almost Stochastic Dominance for Risk-Averse and Risk-Seeking Investors," MPRA Paper 51744, University Library of Munich, Germany.
    3. Tao Yuqing & Mei Jie & Cheng Wen & Zou Sijie, 2019. "Precautionary Effort Investment under Cross Risk Aversion," Journal of Systems Science and Information, De Gruyter, vol. 7(4), pages 344-358, August.
    4. Rachel J. Huang & Larry Y. Tzeng & Lin Zhao, 2020. "Fractional Degree Stochastic Dominance," Management Science, INFORMS, vol. 66(10), pages 4630-4647, October.
    5. Chuang, O-Chia & Eeckhoudt, Louis & Huang, Rachel J. & Tzeng, Larry Y., 2013. "Risky targets and effort," Insurance: Mathematics and Economics, Elsevier, vol. 52(3), pages 465-468.
    6. Larry Y. Tzeng & Rachel J. Huang & Pai-Ta Shih, 2013. "Revisiting Almost Second-Degree Stochastic Dominance," Management Science, INFORMS, vol. 59(5), pages 1250-1254, May.
    7. Antoine Bommier & François Le Grand, 2019. "Risk Aversion and Precautionary Savings in Dynamic Settings," Management Science, INFORMS, vol. 65(3), pages 1386-1397, March.
    8. Liu, Liqun & Meyer, Jack, 2013. "Substituting one risk increase for another: A method for measuring risk aversion," Journal of Economic Theory, Elsevier, vol. 148(6), pages 2706-2718.
    9. Huang, James & Stapleton, Richard, 2015. "The utility premium of Friedman and Savage, comparative risk aversion, and comparative prudence," Economics Letters, Elsevier, vol. 134(C), pages 34-36.
    10. Guo, Xu & Wong, Wing-Keung & Zhu, Lixing, 2013. "Almost Stochastic Dominance and Moments," MPRA Paper 49274, University Library of Munich, Germany.
    11. Wang, Hongxia & Zhou, Lin & Dai, Peng-Fei & Xiong, Xiong, 2022. "Moment conditions for fractional degree stochastic dominance," Finance Research Letters, Elsevier, vol. 49(C).
    12. Liqun Liu & Jack Meyer, 2012. "Decreasing absolute risk aversion, prudence and increased downside risk aversion," Journal of Risk and Uncertainty, Springer, vol. 44(3), pages 243-260, June.
    13. Fousseni Chabi-Yo, 2012. "Pricing Kernels with Stochastic Skewness and Volatility Risk," Management Science, INFORMS, vol. 58(3), pages 624-640, March.
    14. Wei, Wei, 2017. "Joint stochastic orders of high degrees and their applications in portfolio selections," Insurance: Mathematics and Economics, Elsevier, vol. 76(C), pages 141-148.
    15. Doron Nisani & Amit Shelef, 2021. "A statistical analysis of investor preferences for portfolio selection," Empirical Economics, Springer, vol. 61(4), pages 1883-1915, October.

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