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) › peer-review

13 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

Keywords

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

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10.1016/j.mathsocsci.2010.03.003

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title = "Multiplicative risk apportionment",

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.",

keywords = "Higher-order multiplicative risk apportionment, Higher-order relative risk aversion",

author = "Jianli WANG and Jingyuan LI",

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AU - LI, Jingyuan

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AB - 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.

KW - Higher-order multiplicative risk apportionment

KW - Higher-order relative risk aversion

UR - http://commons.ln.edu.hk/sw_master/507

U2 - 10.1016/j.mathsocsci.2010.03.003

DO - 10.1016/j.mathsocsci.2010.03.003

M3 - Journal Article (refereed)

VL - 60

SP - 79

EP - 81

JO - Mathematical Social Sciences

JF - Mathematical Social Sciences

SN - 0165-4896

IS - 1

ER -

Multiplicative risk apportionment

Abstract

Keywords

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