Downside Risk Aversion and the Downside Risk Premium
尝试定义下行风险溢价，类似Pratt-Arrow对风险溢价的定义，但发现局部分析有困难，提出基于两个赌局差异的定义，并指出全局分析中高阶项影响不可忽略，且现有五种下行风险厌恶度量均无效。
Abstract We search for a definition of the downside risk premium analogous to the Pratt–Arrow definition of the risk premium. However, even in the local analysis difficulties arise. To overcome these, we propose a definition based on the difference between two gambles. Further, a global analysis reveals that higher‐order terms affect the downside risk premium and these cannot be ignored. We show that all five measures of the intensity of downside risk aversion that have been suggested are invalid in the case of the global analysis.