Multiplicative risk apportionment

Jianli WANG; Jingyuan LI

doi:10.1016/j.mathsocsci.2010.03.003

Multiplicative risk apportionment

Jianli WANG, Jingyuan LI

Research output: Journal Publications › Journal 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 language	English
Pages (from-to)	79-81
Number of pages	3
Journal	Mathematical Social Sciences
Volume	60
Issue number	1
DOIs	https://doi.org/10.1016/j.mathsocsci.2010.03.003
Publication status	Published - 1 Jul 2010
Externally published	Yes

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Keywords

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

Cite this

WANG, J., & LI, J. (2010). Multiplicative risk apportionment. Mathematical Social Sciences, 60(1), 79-81. https://doi.org/10.1016/j.mathsocsci.2010.03.003

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KW - Higher-order relative risk aversion

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DO - 10.1016/j.mathsocsci.2010.03.003

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Access to Document

10.1016/j.mathsocsci.2010.03.003

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