DIRECTIONAND INTENSITYOF RISK PREFERENCEATTHE THIRD ORDER
在预期效用理论中，三阶风险偏好无法用单一指标刻画，本文对比了不同指标，发现Schwarzian导数决定下行风险的替代效应，而谨慎程度决定预防性储蓄的规模。
A BSTRACT In expected utility theory, aversion to risk, greater aversion, and the desire to substitute away from risk are each characterized by properties of the Arrow–Pratt index of absolute risk aversion, with comparative statics implications for such decisions as saving. At the third order, however, no single index suffices. We contrast alternative indices of third‐order risk preference and show that the substitution effect of downside risk is governed by the Schwarzian, and that where the degree of prudence governs the magnitude of precautionary saving, the Schwarzian governs the effect of background risk on the marginal rate of time preference.