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On the intensity of downside risk aversion

Author

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  • CRAINICH, Davida
  • EECKHOUDT, Louis

Abstract

The degree of downside risk aversion (or equivalently prudence) is so far usually measured by -U'''/U''. We propose here another measure, U'''/U', which has interesting properties, different from those related to -U'''/U''. It also appears that the two measures are not mutually exclusive. Instead, they seem to be rather complementary as shown through an economic application.
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(This abstract was borrowed from another version of this item.)
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Suggested Citation

  • CRAINICH, Davida & EECKHOUDT, Louis, 2009. "On the intensity of downside risk aversion," LIDAM Reprints CORE 2061, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    • Handle: RePEc:cor:louvrp:2061
    DOI: 10.1007/s11166-008-9037-x
    Note: In : Journal of Risk and Uncertainty, 36, 267-276, 2008
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    References listed on IDEAS

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    1. Kimball, Miles S, 1990. "Precautionary Saving in the Small and in the Large," Econometrica, Econometric Society, vol. 58(1), pages 53-73, January.
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    JEL classification:

    • D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty

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