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Some remarks on measures of risk aversion and on their uses

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  1. repec:ebl:ecbull:v:4:y:2003:i:31:p:1-7 is not listed on IDEAS
  2. Renaud Chicoisne & Fernando Ordóñez & Daniel Espinoza, 2018. "Risk Averse Shortest Paths: A Computational Study," INFORMS Journal on Computing, INFORMS, vol. 30(3), pages 539-553, August.
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  4. Jean-Michel Courtault, 1992. "Développements limités sur les mesures de l'aversion au risque," Revue Économique, Programme National Persée, vol. 43(3), pages 509-518.
  5. Sudhir A. Shah, 2009. "Duality Mappings For The Theory of Risk Aversion with Vector Outcomes," Working Papers id:2085, eSocialSciences.
  6. Grant, Simon & Quiggin, John, 2005. "Increasing uncertainty: a definition," Mathematical Social Sciences, Elsevier, vol. 49(2), pages 117-141, March.
  7. Martins-da-Rocha, V. Filipe, 2010. "Interim efficiency with MEU-preferences," Journal of Economic Theory, Elsevier, vol. 145(5), pages 1987-2017, September.
  8. Spyros Galanis, 2021. "Speculative trade and the value of public information," Journal of Public Economic Theory, Association for Public Economic Theory, vol. 23(1), pages 53-68, February.
  9. Tobias Huber, 2022. "Comparative risk aversion in two periods: An application to self‐insurance and self‐protection," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 89(1), pages 97-130, March.
  10. Spyros Galanis, 2021. "Dynamic consistency, valuable information and subjective beliefs," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 71(4), pages 1467-1497, June.
  11. Tommaso Denti & Luciano Pomatto, 2022. "Model and Predictive Uncertainty: A Foundation for Smooth Ambiguity Preferences," Econometrica, Econometric Society, vol. 90(2), pages 551-584, March.
  12. Jean Baccelli, 2018. "Risk attitudes in axiomatic decision theory: a conceptual perspective," Theory and Decision, Springer, vol. 84(1), pages 61-82, January.
  13. Gregorio Curello & Ludvig Sinander, 2024. "The Preference Lattice," CRC TR 224 Discussion Paper Series crctr224_2024_563, University of Bonn and University of Mannheim, Germany.
  14. Johanna Etner & Meglena Jeleva, 2012. "Underestimation of probability modifications: characterization and economic implications," Working Papers hal-04141056, HAL.
  15. Matthias Lang, 2017. "First-Order and Second-Order Ambiguity Aversion," Management Science, INFORMS, vol. 63(4), pages 1254-1269, April.
  16. Driesen, Bram & Lombardi, Michele & Peters, Hans, 2016. "Feasible sets, comparative risk aversion, and comparative uncertainty aversion in bargaining," Journal of Mathematical Economics, Elsevier, vol. 67(C), pages 162-170.
  17. Johanna Etner & Meglena Jeleva & Jean‐Marc Tallon, 2012. "Decision Theory Under Ambiguity," Journal of Economic Surveys, Wiley Blackwell, vol. 26(2), pages 234-270, April.
  18. Ghirardato, Paolo & Marinacci, Massimo, 2002. "Ambiguity Made Precise: A Comparative Foundation," Journal of Economic Theory, Elsevier, vol. 102(2), pages 251-289, February.
  19. Chiaki Hara, 2023. "Arrow-Pratt-Type Measure of Ambiguity Aversion," KIER Working Papers 1097, Kyoto University, Institute of Economic Research.
  20. Jewitt, Ian & Mukerji, Sujoy, 2017. "Ordering ambiguous acts," Journal of Economic Theory, Elsevier, vol. 171(C), pages 213-267.
  21. Sudhir A. Shah, 2016. "The Generalized Arrow-Pratt Coefficient," Working Papers id:10795, eSocialSciences.
  22. Chambers, Robert G. & Melkonyan, Tigran, 2017. "Ambiguity, reasoned determination, and climate-change policy," Journal of Environmental Economics and Management, Elsevier, vol. 81(C), pages 74-92.
  23. Stergios Athanassoglou & Valentina Bosetti, 2015. "Setting Environmental Policy When Experts Disagree," Environmental & Resource Economics, Springer;European Association of Environmental and Resource Economists, vol. 61(4), pages 497-516, August.
  24. Karni, Edi & Vierø, Marie-Louise, 2023. "Comparative incompleteness: Measurement, behavioral manifestations and elicitation," Journal of Economic Behavior & Organization, Elsevier, vol. 205(C), pages 423-442.
  25. Daniel Espinoza & Eduardo Moreno, 2014. "A primal-dual aggregation algorithm for minimizing conditional value-at-risk in linear programs," Computational Optimization and Applications, Springer, vol. 59(3), pages 617-638, December.
  26. Pavlo Blavatskyy, 2018. "Temporal dominance and relative patience in intertemporal choice," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 65(2), pages 361-384, March.
  27. Machina, Mark J, 2001. "Payoff Kinks in Preferences over Lotteries," Journal of Risk and Uncertainty, Springer, vol. 23(3), pages 207-260, November.
  28. Bommier, Antoine & Chassagnon, Arnold & Le Grand, François, 2012. "Comparative risk aversion: A formal approach with applications to saving behavior," Journal of Economic Theory, Elsevier, vol. 147(4), pages 1614-1641.
  29. Antoine Bommier & Stéphane Zuber, 2012. "The Pareto Principle Of Optimal Inequality," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 53(2), pages 593-608, May.
  30. Louis R. Eeckhoudt & Roger J. A. Laeven, 2021. "Probability Premium and Attitude Towards Probability," Papers 2105.00054, arXiv.org.
  31. Minqiang Li, 2014. "On Aumann and Serrano’s economic index of risk," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 55(2), pages 415-437, February.
  32. Heufer, Jan & Hjertstrand, Per, 2019. "Homothetic preferences revealed," Journal of Economic Behavior & Organization, Elsevier, vol. 157(C), pages 602-614.
  33. Karni, Edi & Safra, Zvi, 2002. "Intensity of the Sense of Fairness: Measurement and Behavioral Characterization," Journal of Economic Theory, Elsevier, vol. 105(2), pages 318-337, August.
  34. Robert Nau, 2001. "De Finetti was Right: Probability Does Not Exist," Theory and Decision, Springer, vol. 51(2), pages 89-124, December.
  35. Muris, C.H.M., 2011. "Panel data econometrics and climate change," Other publications TiSEM 019be37c-ed20-4483-bebd-6, Tilburg University, School of Economics and Management.
  36. Chambers, Robert G. & Quiggin, John, 2005. "Linear-risk-tolerant, invariant risk preferences," Economics Letters, Elsevier, vol. 86(3), pages 303-309, March.
  37. Ikefuji, M. & Laeven, R.J.A. & Magnus, J.R. & Muris, C.H.M., 2010. "Burr Utility," Discussion Paper 2010-81, Tilburg University, Center for Economic Research.
    • Ikefuji, M. & Laeven, R.J.A. & Magnus, J.R. & Muris, C.H.M., 2010. "Burr Utility," Other publications TiSEM fddee215-edea-4800-ba72-d, Tilburg University, School of Economics and Management.
  38. Pirtea Marilen & Boţoc Claudiu, 2008. "Risk Aversion Behavior. Relationships Between Risk Aversion, Prudence And Cautiousness," Annales Universitatis Apulensis Series Oeconomica, Faculty of Sciences, "1 Decembrie 1918" University, Alba Iulia, vol. 1(10), pages 1-32.
  39. Chambers, Robert G. & Quiggin, John, 2003. "Indirect certainty equivalents for the firm facing price and production uncertainty," Economics Letters, Elsevier, vol. 78(3), pages 309-316, March.
  40. Eric van Damme, 1984. "The Nash Bargaining Solution is Optimal," Discussion Papers 597, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
  41. Sudhir A. Shah, 2007. "Duality mappings for the theory of risk aversion with vector outcomes," Working papers 160, Centre for Development Economics, Delhi School of Economics.
  42. Sudhir A. Shah, 2024. "Money-metric valuation of assets," Working papers 347, Centre for Development Economics, Delhi School of Economics.
  43. Gerd Weinrich, 1999. "Nondegenerate Intervals of No-Trade Prices for Risk Averse Traders," Theory and Decision, Springer, vol. 46(1), pages 79-99, February.
  44. Gilboa, Itzhak & Marianacci, Massimo, 2011. "Ambiguity and the Bayesian Paradigm," Foerder Institute for Economic Research Working Papers 275755, Tel-Aviv University > Foerder Institute for Economic Research.
  45. John Quiggin, 2022. "Production under uncertainty and choice under uncertainty in the emergence of generalized expected utility theory," Theory and Decision, Springer, vol. 92(3), pages 717-729, April.
  46. Strzalecki, Tomasz & Werner, Jan, 2011. "Efficient allocations under ambiguity," Journal of Economic Theory, Elsevier, vol. 146(3), pages 1173-1194, May.
  47. Wakker, Peter P. & Yang, Jingni, 2019. "A powerful tool for analyzing concave/convex utility and weighting functions," Journal of Economic Theory, Elsevier, vol. 181(C), pages 143-159.
  48. John Quiggin & Robert G. Chambers, 2004. "Drought policy: a graphical analysis," Australian Journal of Agricultural and Resource Economics, Australian Agricultural and Resource Economics Society, vol. 48(2), pages 225-251, June.
  49. Xiangyu Qu, 2015. "A belief-based definition of ambiguity aversion," Theory and Decision, Springer, vol. 79(1), pages 15-30, July.
  50. Thibault Gajdos & Jean-Marc Tallon & Jean-Christophe Vergnaud, 2002. "Coping with imprecise information: a decision theoretic approach," Cahiers de la Maison des Sciences Economiques v04056, Université Panthéon-Sorbonne (Paris 1), revised May 2004.
  51. Gregorio Curello & Ludvig Sinander, 2019. "The preference lattice," Papers 1902.07260, arXiv.org, revised Jan 2025.
  52. Luciano Andreozzi, 2019. "On Being Inequality Averse: Measurement and Behavioral Characterization," DEM Working Papers 2019/10, Department of Economics and Management.
  53. Lajeri-Chaherli, Fatma, 2003. "Partial derivatives, comparative risk behavior and concavity of utility functions," Mathematical Social Sciences, Elsevier, vol. 46(1), pages 81-99, August.
  54. Bar-Shira, Ziv & Finkelshtain, Israel, 1999. "Two-moments decision models and utility-representable preferences," Journal of Economic Behavior & Organization, Elsevier, vol. 38(2), pages 237-244, February.
  55. Antoine Bommier & François Le Grand, 2019. "Risk Aversion and Precautionary Savings in Dynamic Settings," Management Science, INFORMS, vol. 65(3), pages 1386-1397, March.
  56. Jean Baccelli & Georg Schollmeyer & Christoph Jansen, 2022. "Risk aversion over finite domains," Theory and Decision, Springer, vol. 93(2), pages 371-397, September.
  57. Federico Echenique & Farzad Pourbabaee, 2024. "Individual and Collective Welfare in Risk Sharing with Many States," Papers 2401.07337, arXiv.org, revised Jun 2024.
  58. Anirban Mitra & Debraj Ray, 2014. "Implications of an Economic Theory of Conflict: Hindu-Muslim Violence in India," Journal of Political Economy, University of Chicago Press, vol. 122(4), pages 719-765.
  59. José Heleno Faro & Ana Santos, 2023. "Updating variational (Bewley) preferences," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 75(1), pages 207-228, January.
  60. Izhakian, Yehuda, 2017. "Expected utility with uncertain probabilities theory," Journal of Mathematical Economics, Elsevier, vol. 69(C), pages 91-103.
  61. Pavlo Blavatskyy, 2024. "Who is ambiguity neutral?," The Geneva Risk and Insurance Review, Palgrave Macmillan;International Association for the Study of Insurance Economics (The Geneva Association), vol. 49(2), pages 181-193, September.
  62. Sudhir A. Shah, 2010. "Comparative Risk Aversion When the Outcomes are Vectors," Working Papers id:2907, eSocialSciences.
  63. Robert F. Nau, 2003. "A Generalization of Pratt-Arrow Measure to Nonexpected-Utility Preferences and Inseparable Probability and Utility," Management Science, INFORMS, vol. 49(8), pages 1089-1104, August.
  64. Karni, Edi, 1983. "Risk Aversion for State-Dependent Utility Functions: Measurement and Applications," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 24(3), pages 637-647, October.
  65. Aurélien Baillon & Han Bleichrodt & Zhenxing Huang & Rogier Potter van Loon, 2017. "Measuring ambiguity attitude: (Extended) multiplier preferences for the American and the Dutch population," Journal of Risk and Uncertainty, Springer, vol. 54(3), pages 269-281, June.
  66. Timothy Mathews, 2005. "Meaning Of ‘More Risk Averse’ When Preferences Are Over Mean And Variance," Manchester School, University of Manchester, vol. 73(1), pages 75-91, January.
  67. Larry Epstein, 1997. "Uncertainty Aversion," Working Papers epstein-97-01, University of Toronto, Department of Economics.
  68. Loehman, Edna, 1998. "Testing risk aversion and nonexpected utility theories," Journal of Economic Behavior & Organization, Elsevier, vol. 33(2), pages 285-302, January.
  69. Moez Abouda & Elyess Farhoud, 2010. "Risk aversion and Relationships in model-free," Post-Print halshs-00492170, HAL.
  70. Charles-Cadogan, G., 2016. "Expected utility theory and inner and outer measures of loss aversion," Journal of Mathematical Economics, Elsevier, vol. 63(C), pages 10-20.
  71. Peter Klibanoff & Sujoy Mukerji & Kyoungwon Seo, 2014. "Perceived Ambiguity and Relevant Measures," Econometrica, Econometric Society, vol. 82, pages 1945-1978, September.
  72. Sergiu Hart, 2011. "Comparing Risks by Acceptance and Rejection," Journal of Political Economy, University of Chicago Press, vol. 119(4), pages 617-638.
  73. Galanis, Spyros, 2018. "Financial complexity and trade," Games and Economic Behavior, Elsevier, vol. 112(C), pages 219-230.
  74. Yoram Halevy & Dotan Persitz & Lanny Zrill, 2018. "Parametric Recoverability of Preferences," Journal of Political Economy, University of Chicago Press, vol. 126(4), pages 1558-1593.
  75. Shlomo Yitzhaki, 1987. "On the Excess Burden of Tax Evasion," Public Finance Review, , vol. 15(2), pages 123-137, April.
  76. Kobberling, Veronika & Wakker, Peter P., 2005. "An index of loss aversion," Journal of Economic Theory, Elsevier, vol. 122(1), pages 119-131, May.
  77. Marie-Charlotte Guetlein, 2016. "Comparative Risk Aversion in the Presence of Ambiguity," American Economic Journal: Microeconomics, American Economic Association, vol. 8(3), pages 51-63, August.
  78. Grant, S. & Quiggin, J., 2001. "A Model-Free Definition of Increasing Uncertainty," Discussion Paper 2001-84, Tilburg University, Center for Economic Research.
  79. Ali E. Abbas, 2012. "Valuing Changes in Investment Opportunities," Operations Research, INFORMS, vol. 60(6), pages 1451-1460, December.
  80. Jan (J.P.M.) Heufer & Per Hjertstrand, 2017. "Homothetic Preferences Revealed," Tinbergen Institute Discussion Papers 17-103/I, Tinbergen Institute.
  81. ALLARD, Marie & BRONSARD, Camille & GOURIÉROUX Christian, 2003. "Aversion Analysis," Cahiers de recherche 2003-06, Universite de Montreal, Departement de sciences economiques.
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  82. Karni, Edi, 1980. "Risk Aversion in the State Preference Approach and in the Expected Utility Maximizing Approach to Decision Making Under Uncertainty," Foerder Institute for Economic Research Working Papers 275324, Tel-Aviv University > Foerder Institute for Economic Research.
  83. Sudhir A. Shah, 2006. "Comparative risk aversion when the outcomes are vectors," Working papers 149, Centre for Development Economics, Delhi School of Economics.
  84. Johanna Etner & Meglena Jeleva, 2014. "Underestimation of probabilities modifications: characterization and economic implications," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 56(2), pages 291-307, June.
  85. Sudhir A. Shah, 2016. "The Generalized Arrow-Pratt Coefficient," Working papers 254, Centre for Development Economics, Delhi School of Economics.
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  88. Giulio Principi & Peter P. Wakker & Ruodu Wang, 2023. "Anticomonotonicity for Preference Axioms: The Natural Counterpart to Comonotonicity," Papers 2307.08542, arXiv.org, revised Dec 2024.
  89. Gajdos, Thibault & Weymark, John A., 2012. "Introduction to inequality and risk," Journal of Economic Theory, Elsevier, vol. 147(4), pages 1313-1330.
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  91. Donatella Baiardi & Marco Magnani & Mario Menegatti, 2020. "The theory of precautionary saving: an overview of recent developments," Review of Economics of the Household, Springer, vol. 18(2), pages 513-542, June.
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  93. Segal, Uzi & Spivak, Avia, 1990. "First order versus second order risk aversion," Journal of Economic Theory, Elsevier, vol. 51(1), pages 111-125, June.
  94. Heufer, Jan, 2014. "Nonparametric comparative revealed risk aversion," Journal of Economic Theory, Elsevier, vol. 153(C), pages 569-616.
  95. Hill, Brian, 2023. "Beyond uncertainty aversion," Games and Economic Behavior, Elsevier, vol. 141(C), pages 196-222.
  96. Frank Hansen, 2006. "Decreasing Relative Risk Premium," Discussion Papers 06-21, University of Copenhagen. Department of Economics.
  97. Antoine Bommier & Francois Le Grand, "undated". "A Robust Approach to Risk Aversion," Working Papers ETH-RC-13-002, ETH Zurich, Chair of Systems Design.
  98. Grant, Simon & Kline, Jeff & Quiggin, John, 2006. "Lost in Translation: Honest Misunderstandings and Ex Post Disputes," Risk and Sustainable Management Group Working Papers 151177, University of Queensland, School of Economics.
  99. Stewart, Jay, 1994. "The Welfare Implications of Moral Hazard and Adverse Selection in Competitive Insurance Markets," Economic Inquiry, Western Economic Association International, vol. 32(2), pages 193-208, April.
  100. Robert Nau, 2011. "Risk, ambiguity, and state-preference theory," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 48(2), pages 437-467, October.
  101. Jiankang Zhang, 2022. "More ambiguity aversion or more risk aversion?," Economic Theory Bulletin, Springer;Society for the Advancement of Economic Theory (SAET), vol. 10(2), pages 217-232, October.
  102. Katsutoshi Wakai, 2015. "Recursive extension of a multicommodity analysis," Economic Theory Bulletin, Springer;Society for the Advancement of Economic Theory (SAET), vol. 3(2), pages 271-285, October.
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  106. Kobberling, Veronika & Peters, Hans, 2003. "The effect of decision weights in bargaining problems," Journal of Economic Theory, Elsevier, vol. 110(1), pages 154-175, May.
  107. Karni, Edi & Schmeidler, David, 1990. "Utility Theory and Uncertainty," Foerder Institute for Economic Research Working Papers 275480, Tel-Aviv University > Foerder Institute for Economic Research.
  108. Davies, G.B., 2005. "Rethinking Risk: Aspiration as Pure Risk," Cambridge Working Papers in Economics 0507, Faculty of Economics, University of Cambridge.
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