Multiplicative risk apportionment

Jianli WANG, Jingyuan LI

Research output: Journal PublicationsJournal Article (refereed)

12 Citations (Scopus)

Abstract

This paper examines changes in a multiplicative risk and how these changes affect preferences in an expected-utility setting. We define higher-order multiplicative risk apportionment, via a particular classes of lottery preference and show it is equivalent to the magnitude of higher-order relative risk aversion.
Original languageEnglish
Pages (from-to)79-81
Number of pages3
JournalMathematical Social Sciences
Volume60
Issue number1
DOIs
Publication statusPublished - 1 Jul 2010
Externally publishedYes

Fingerprint

Multiplicative
Higher Order
Lottery
Risk Aversion
Relative Risk
Expected Utility
Risk apportionment
Class
Expected utility
Relative risk aversion

Keywords

  • Higher-order multiplicative risk apportionment
  • Higher-order relative risk aversion

Cite this

WANG, Jianli ; LI, Jingyuan. / Multiplicative risk apportionment. In: Mathematical Social Sciences. 2010 ; Vol. 60, No. 1. pp. 79-81.
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Multiplicative risk apportionment. / WANG, Jianli; LI, Jingyuan.

In: Mathematical Social Sciences, Vol. 60, No. 1, 01.07.2010, p. 79-81.

Research output: Journal PublicationsJournal Article (refereed)

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KW - Higher-order relative risk aversion

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