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Higher-order generalizations of Arrow-Pratt and Ross risk aversion: A comparative statics approach
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Cited by:
- Liqun Liu & Andrew Rettenmaier & Thomas Saving, 2009. "Conditional payments and self-protection," Journal of Risk and Uncertainty, Springer, vol. 38(2), pages 159-172, April.
- Louis Eeckhoudt & Liqun Liu & Jack Meyer, 2017.
"Restricted increases in risk aversion and their application,"
Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 64(1), pages 161-181, June.
- Louis Eeckhoudt & Liqun Liu & Jack Meyer, 2016. "Restricted increases in risk aversion and their application," Post-Print hal-01533535, HAL.
- Denuit, Michel M. & Eeckhoudt, Louis, 2010.
"Stronger measures of higher-order risk attitudes,"
Journal of Economic Theory, Elsevier, vol. 145(5), pages 2027-2036, September.
- DENUIT, Michel & EECKHOUDT, Louis, 2010. "Stronger measures of higher-order risk attitudes," LIDAM Reprints CORE 2353, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- M. Denuit & L. Eeckhoudt, 2010. "Stronger measures of higher-order risk attitudes," Post-Print halshs-00485755, HAL.
- Peter, Richard, 2019. "Revisiting precautionary saving under ambiguity," Economics Letters, Elsevier, vol. 174(C), pages 123-127.
- Keenan, Donald C. & Snow, Arthur, 2009. "Greater downside risk aversion in the large," Journal of Economic Theory, Elsevier, vol. 144(3), pages 1092-1101, May.
- Wang, Jianli & Li, Jingyuan, 2014. "Decreasing Ross risk aversion: Higher-order generalizations and implications," Journal of Mathematical Economics, Elsevier, vol. 55(C), pages 136-142.
- 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.
- O.C. Chuang & L. Eeckhoudt & R.J. Huang & L.Y. Tzeng, 2013. "Risky targets and effort," Post-Print hal-00845897, HAL.
- Dionne, Georges & Li, Jingyuan, 2014.
"Comparative Ross risk aversion in the presence of mean dependent risks,"
Journal of Mathematical Economics, Elsevier, vol. 51(C), pages 128-135.
- Georges Dionne & Jingyuan Li, 2012. "Comparative Ross Risk Aversion in the Presence of Mean Dependent Risks," Cahiers de recherche 1211, CIRPEE.
- Dionne, Georges & Li, Jingyuan, 2013. "Comparative Ross risk aversion in the presence of mean dependent risks," Working Papers 12-2, HEC Montreal, Canada Research Chair in Risk Management.
- Wang, Jianli & Li, Jingyuan, 2010. "Multiplicative risk apportionment," Mathematical Social Sciences, Elsevier, vol. 60(1), pages 79-81, July.
- Keenan, Donald C. & Snow, Arthur, 2010. "Greater prudence and greater downside risk aversion," Journal of Economic Theory, Elsevier, vol. 145(5), pages 2018-2026, September.
- Crainich, David & Eeckhoudt, Louis & Menegatti, Mario, 2016.
"Changing risks and optimal effort,"
Journal of Economic Behavior & Organization, Elsevier, vol. 125(C), pages 97-106.
- David Crainich & Louis Eeckhoudt & Mario Menegatti, 2016. "Changing risks and optimal effort," Post-Print hal-01533522, HAL.
- Christoph Heinzel, 2014. "Term structure of discount rates under multivariate s-ordered consumption growth," Working Papers SMART 14-01, INRAE UMR SMART.
- 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.
- Liqun Liu & Nicolas Treich, 2021.
"Optimality of winner-take-all contests: the role of attitudes toward risk,"
Journal of Risk and Uncertainty, Springer, vol. 63(1), pages 1-25, August.
- Treich, Nicolas & Liu, Linqun, 2019. "Optimality of Winner-Take-All Contests: The Role of Attitudes toward Risk," TSE Working Papers 19-1060, Toulouse School of Economics (TSE).
- Liqun Liu & Nicolas Treich, 2021. "Optimality of winner-take-all contests: the role of attitudes toward risk," Post-Print hal-03722083, HAL.
- Treich, Nicolas & Liu, Linqun, 2021. "Optimality of Winner-Take-All Contests: The Role of Attitudes toward Risk," TSE Working Papers 21-1194, Toulouse School of Economics (TSE).
- Xue, Minggao & Cheng, Wen, 2013. "Background risk, bivariate risk attitudes, and optimal prevention," Mathematical Social Sciences, Elsevier, vol. 66(3), pages 390-395.
- Jingyuan Li & Georges Dionne, 2010.
"A Theoretical Extension of the Consumption-based CAPM Model,"
Cahiers de recherche
1047, CIRPEE.
- Li, Jingyuan & Dionne, Georges, 2011. "A theoretical extension of the consumption-based CAPM model," Working Papers 10-8, HEC Montreal, Canada Research Chair in Risk Management.
- Denuit, Michel & Liu, Liqun & Meyer, Jack, 2014.
"A separation theorem for the weak s-convex orders,"
Insurance: Mathematics and Economics, Elsevier, vol. 59(C), pages 279-284.
- Denuit, Michel & Liu, Liqun & Meyer, Jack, 2014. "A separation theorem for the weak S-Convex Orders," LIDAM Discussion Papers ISBA 2014040, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
- Denuit, Michel & Liu, Liqun & Meyer, Jack, 2014. "A separation theorem for the weak s-convex orders," LIDAM Reprints ISBA 2014043, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
- Georges Dionne & Jingyuan Li & Cedric Okou, 2012.
"An Extension of the Consumption-based CAPM Model,"
Cahiers de recherche
1214, CIRPEE.
- Dionne, Georges & Li, Jingyuan & Okou, Cédric, 2023. "An extension of the consumption-based CAPM model," Working Papers 12-4, HEC Montreal, Canada Research Chair in Risk Management.
- Denuit, Michel & Rey, Béatrice, 2010. "Prudence, temperance, edginess, and risk apportionment as decreasing sensitivity to detrimental changes," Mathematical Social Sciences, Elsevier, vol. 60(2), pages 137-143, September.
- Christoph Heinzel & Richard Peter, 2021. "Precautionary motives with multiple instruments [Motifs de précaution en cas de multiples instruments]," Working Papers hal-03484875, HAL.
- Crainich, David & Menegatti, Mario, 2021.
"Self-protection with random costs,"
Insurance: Mathematics and Economics, Elsevier, vol. 98(C), pages 63-67.
- David Crainich & Mario Menegatti, 2021. "Self-protection with random costs," Post-Print hal-03273664, HAL.
- Jouini, Elyès & Napp, Clotilde & Nocetti, Diego, 2013.
"On multivariate prudence,"
Journal of Economic Theory, Elsevier, vol. 148(3), pages 1255-1267.
- Elyès Jouini & Clotilde Napp & Diego Nocetti, 2013. "On Multivariate Prudence," Post-Print halshs-00635558, HAL.
- Stephen G. Pauker, 2014. "Moments When Utilities Are Functional," Medical Decision Making, , vol. 34(1), pages 4-7, January.
- Keenan, Donald C. & Snow, Arthur, 2012. "Ross risk vulnerability for introductions and changes in background risk," Journal of Mathematical Economics, Elsevier, vol. 48(4), pages 197-206.
- Peter, Richard, 2017. "Optimal self-protection in two periods: On the role of endogenous saving," Journal of Economic Behavior & Organization, Elsevier, vol. 137(C), pages 19-36.
- Crainich, David & Eeckhoudt, Louis & Courtois, Olivier Le, 2020.
"Intensity of preferences for bivariate risk apportionment,"
Journal of Mathematical Economics, Elsevier, vol. 88(C), pages 153-160.
- David Crainich & Louis Eeckhoudt & Olivier Le Courtois, 2020. "Intensity of preferences for bivariate risk apportionment," Post-Print hal-03133126, HAL.
- Li, Jingyuan & Liu, Liqun, 2014. "The monetary utility premium and interpersonal comparisons," Economics Letters, Elsevier, vol. 125(2), pages 257-260.
- AJ A. Bostian & Christoph Heinzel, 2018. "Comparative precautionary saving under higher-order risk and recursive utility," The Geneva Risk and Insurance Review, Palgrave Macmillan;International Association for the Study of Insurance Economics (The Geneva Association), vol. 43(1), pages 95-114, May.
- Michel M. Denuit & Louis Eeckhoudt, 2010.
"A General Index of Absolute Risk Attitude,"
Management Science, INFORMS, vol. 56(4), pages 712-715, April.
- DENUIT, Michel M. & EECKHOUDT, Louis, 2010. "A general index of absolute risk attitude," LIDAM Reprints CORE 2210, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- L. Eeckhoudt & M. Denuit, 2010. "A General Index of Absolute Risk Attitude," Post-Print hal-00570578, HAL.
- Bernard Sinclair-Desgagné & Sandrine Spaeter, 2016.
"Incentive Contracts and Downside Risk Sharing,"
Working Papers of BETA
2016-22, Bureau d'Economie Théorique et Appliquée, UDS, Strasbourg.
- Bernard Sinclair-Desgagné & Sandrine Spaeter, 2018. "Incentive Contracts and Downside Risk Sharing," Post-Print halshs-02292797, HAL.
- David Crainich & Louis Eeckhoudt, 2008.
"On the intensity of downside risk aversion,"
Journal of Risk and Uncertainty, Springer, vol. 36(3), pages 267-276, June.
- CRAINICH, David & EECKHOUDT, Louis, 2007. "On the intensity of downside risk aversion," LIDAM Discussion Papers CORE 2007088, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- 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).
- D. Crainich & L. Eeckhoudt, 2008. "On the intensity of downside risk aversion," Post-Print hal-00292420, HAL.
- 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.
- Paan Jindapon & Liqun Liu & William S. Neilson, 2021. "Comparative risk apportionment," Economic Theory Bulletin, Springer;Society for the Advancement of Economic Theory (SAET), vol. 9(1), pages 91-112, April.
- Georges Dionne & Jingyuan Li, 2012.
"Comparative Ross Risk Aversion in the Presence of Quadrant Dependent Risks,"
Cahiers de recherche
1226, CIRPEE.
- Dionne, Georges & Li, Jingyuan, 2012. "Comparative Ross risk aversion in the presence of quadrant dependent risks," Working Papers 12-7, HEC Montreal, Canada Research Chair in Risk Management.
- Crainich, David & Eeckhoudt, Louis & Le Courtois, Olivier, 2014.
"Decreasing downside risk aversion and background risk,"
Journal of Mathematical Economics, Elsevier, vol. 53(C), pages 59-63.
- David Crainich & Louis Eeckhoudt & Olivier Le Courtois, 2013. "Decreasing Downside Risk Aversion and Background Risk," Working Papers 2013-ECO-21, IESEG School of Management.
- David Crainich & Louis Eeckhoudt & Olivier Le Courtois, 2014. "Decreasing downside risk aversion and background risk," Post-Print hal-02313171, HAL.
- Li, Jingyuan, 2009. "Comparative higher-degree Ross risk aversion," Insurance: Mathematics and Economics, Elsevier, vol. 45(3), pages 333-336, December.
- Denuit, Michel M. & Eeckhoudt, Louis & Schlesinger, Harris, 2013.
"When Ross meets Bell: The linex utility function,"
Journal of Mathematical Economics, Elsevier, vol. 49(2), pages 177-182.
- Denuit, M. & Eeckhoudt, L. & Schlesinger, H., 2011. "When Ross meets Bell: the linex utility function," LIDAM Discussion Papers ISBA 2011014, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
- Denuit, Michel & Eeckhoudt, Louis & Schlesinger, Harris, 2013. "When Ross meets Bell: The linex utility function," LIDAM Reprints ISBA 2013013, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
- DENUIT, Michel M. & EECKHOUDT, Louis & SCHLESINGER, Harris, 2013. "When Ross meets Bell: the linex utility function," LIDAM Reprints CORE 2496, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- M. Denuit & L. Eeckhoudt & H. Schlesinger, 2013. "When ross meets bell: the linex utility function," Post-Print hal-00845936, HAL.
- Jindapon, Paan, 2010. "Prudence probability premium," Economics Letters, Elsevier, vol. 109(1), pages 34-37, October.
- David Crainich, 2019.
"Effet des préférences individuelles sur la réussite à long terme des incitations financières à la réalisation d’objectifs de santé,"
Revue d'économie politique, Dalloz, vol. 129(4), pages 447-465.
- David Crainich, 2019. "Effet des préférences individuelles sur la réussite à long terme des incitations financières à la réalisation d’objectifs de santé," Post-Print hal-02108283, HAL.
- Kim, Kwansoo & Chavas, Jean-Paul & Barham, Bradford L. & Foltz, Jeremy D., 2012. "Rice, Irrigation and Downside Risk: A Quantile Analysis of Risk Exposure and Mitigation on Korean Farms," 2012 Annual Meeting, August 12-14, 2012, Seattle, Washington 124814, Agricultural and Applied Economics Association.
- 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.
- Liu, Liqun & Wang, Jianli, 2017. "A note on the comparative statics approach to nth-degree risk aversion," Economics Letters, Elsevier, vol. 159(C), pages 116-118.
- Wang, Jianli & Wang, Hongxia & Yick, Ho Yin, 2019. "How do changes in risk and risk aversion affect self-protection with Selden/Kreps–Porteus preferences?," Insurance: Mathematics and Economics, Elsevier, vol. 88(C), pages 1-6.
- Heinzel Christoph & Richard Peter, 2021. "Precautionary motives with multiple instruments," Working Papers SMART 21-09, INRAE UMR SMART.
- Christoph Heinzel, 2016. "Precautionary Saving in the Large: nth-Degree Deteriorations in Return Risk," FOODSECURE Working papers 42, LEI Wageningen UR.
- Dennis W. Jansen & Liqun Liu, 2022. "Portfolio choice in the model of expected utility with a safety-first component," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 45(1), pages 187-207, June.
- Denuit, M. & Eeckhoudt, L., 2012. "Risk Attitudes and the Value of Risk Transformations," LIDAM Discussion Papers ISBA 2012007, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
- Denuit, Michel M. & Eeckhoudt, Louis, 2013.
"Improving your chances: A new result,"
Economics Letters, Elsevier, vol. 118(3), pages 475-477.
- DENUIT, Michel M. & EECKHOUDT, Louis, 2013. "Improving your chances: a new result," LIDAM Reprints CORE 2515, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- M. Denuit & L. Eeckhoudt, 2013. "Improving your chances: a new result," Post-Print hal-00845912, HAL.
- Heinzel, Christoph, 2023. "Comparing utility derivative premia under additive and multiplicative risks," Insurance: Mathematics and Economics, Elsevier, vol. 111(C), pages 23-40.
- Heinzel, Christoph & Peter, Richard, 2021. "Precautionary motives with multiple instruments," Working Papers 316521, Institut National de la recherche Agronomique (INRA), Departement Sciences Sociales, Agriculture et Alimentation, Espace et Environnement (SAE2).
- Mario Menegatti, 2021. "Subsidizing risk prevention," Journal of Economics, Springer, vol. 134(2), pages 175-193, October.
- AJ A. Bostian & Christoph Heinzel, 2018. "Comparative precautionary saving under higher-order risk and recursive utility," The Geneva Papers on Risk and Insurance Theory, Springer;International Association for the Study of Insurance Economics (The Geneva Association), vol. 43(1), pages 95-114, May.
- Michel M. Denuit & Louis Eeckhoudt, 2013. "Risk attitudes and the value of risk transformations," International Journal of Economic Theory, The International Society for Economic Theory, vol. 9(3), pages 245-254, September.
- Liqun Liu & Jack Meyer & Andrew J. Rettenmaier & Thomas R. Saving, 2018. "Risk and risk aversion effects in contests with contingent payments," Journal of Risk and Uncertainty, Springer, vol. 56(3), pages 289-305, June.
- Wong, Kit Pong, 2017. "A note on risky targets and effort," Insurance: Mathematics and Economics, Elsevier, vol. 73(C), pages 27-30.
- Rachel J. Huang & Larry Y. Tzeng & Lin Zhao, 2020. "Fractional Degree Stochastic Dominance," Management Science, INFORMS, vol. 66(10), pages 4630-4647, October.
- Wang, Hongxia & Wang, Jianli & Yin, Yick Ho, 2018. "Willingness to pay for stochastic improvements of future risk under different risk aversion," Economics Letters, Elsevier, vol. 168(C), pages 52-55.
- Wong, Kit Pong, 2022. "Diversification and risk attitudes toward two risks," Journal of Mathematical Economics, Elsevier, vol. 102(C).
- Liqun Liu & William S. Neilson, 2019. "Alternative Approaches to Comparative n th-Degree Risk Aversion," Management Science, INFORMS, vol. 65(8), pages 3824-3834, August.
- Denuit, M. & Eeckhoudt, L., 2012. "Improving your chances: An extension of Jindapon and Neilson," LIDAM Discussion Papers ISBA 2012008, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
- Jindapon, Paan & Yang, Zhe, 2017. "Risk attitudes and heterogeneity in simultaneous and sequential contests," Journal of Economic Behavior & Organization, Elsevier, vol. 138(C), pages 69-84.
- Christoph Heinzel, 2016. "Precautionary Saving in the Large under Higher-Order Risk and Recursive Utility," FOODSECURE Working papers 43, LEI Wageningen UR.
- James Huang & Richard Stapleton, 2017. "Higher-order risk vulnerability," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 63(2), pages 387-406, February.
- Liqun Liu & Jack Meyer, 2017. "The Increasing Convex Order and the Trade–off of Size for Risk," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 84(3), pages 881-897, September.
- Takao Asano & Yusuke Osaki, 2017. "Portfolio Allocation Problems between Risky Ambiguous Assets," KIER Working Papers 975, Kyoto University, Institute of Economic Research.
- Liu, Liqun, 2014. "Precautionary saving in the large: nth degree deteriorations in future income," Journal of Mathematical Economics, Elsevier, vol. 52(C), pages 169-172.
- Richard Watt & Francisco J. Vazquez, 2013.
"Allocative downside risk aversion,"
International Journal of Economic Theory, The International Society for Economic Theory, vol. 9(4), pages 267-277, December.
- Richard Watt & Francisco J. Vazquez, 2010. "Allocative Downside Risk Aversion," Working Papers in Economics 10/61, University of Canterbury, Department of Economics and Finance.
- Takao Asano & Yusuke Osaki, 2020. "Portfolio allocation problems between risky and ambiguous assets," Annals of Operations Research, Springer, vol. 284(1), pages 63-79, January.
- Huang, Rachel J., 2012. "Ambiguity aversion, higher-order risk attitude and optimal effort," Insurance: Mathematics and Economics, Elsevier, vol. 50(3), pages 338-345.
- Huang, Yi-Chieh & Tzeng, Larry Y. & Zhao, Lin, 2015. "Comparative ambiguity aversion and downside ambiguity aversion," Insurance: Mathematics and Economics, Elsevier, vol. 62(C), pages 257-269.