Arrow-Pratt Measures of Risk Aversion: The Multivariate Case
把衡量风险厌恶的Arrow-Pratt指标从单变量扩展到多变量，提出了两种可用于比较不同人风险厌恶程度的多元风险指数。
Arrow-Pratt measures of risk aversion have been defined for the univariate case. For utility functions having the same ordinal preferences, the authors extend K. J. Arrow's probability premium index to the multivariate case and obtain a unique solution that can be employed to risk-aversion comparison analysis. They also extend G. T. Duncan's definition of the risk premium vector and show that it can be employed in comparative risk aversion once they confine themselves to the same preference ordering. Hence, the authors end up with two multivariate risk indexes that are parallel to the Arrow and Pratt univariate indexes. Copyright 1991 by Economics Department of the University of Pennsylvania and the Osaka University Institute of Social and Economic Research Association.