风险厌恶的罗斯刻画:强化与扩展

The Ross Characterization of Risk Aversion: Strengthening and Extension

Econometrica · 1987
被引 53
人大 A+FT50ABS 4*

中文导读

比较了Arrow-Pratt和Ross对风险厌恶的刻画方法,并强化了Ross的结果,将其扩展到非期望效用偏好。

Abstract

This paper offers an interpretive comparison of the Arrow-Pratt and Ross characterizations of comparative risk aversion for expected utility maximizers. The tools used in this comparison are then applied to obtain a strengthening of the Ross cha racterization. This strengthened result is in turn extended to the ca se of general, smooth, nonexpected utility preferences over probabili ty distributions. Copyright 1987 by The Econometric Society.

Ross风险厌恶测度Arrow-Pratt测度比较风险厌恶非期望效用偏好