Multiplicative risk apportionment

Jianli WANG, Jingyuan LI

Research output: Journal PublicationsJournal Article (refereed)

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 languageEnglish
Pages (from-to)79-81
Number of pages3
JournalMathematical Social Sciences
Volume60
Issue number1
DOIs
Publication statusPublished - 1 Jul 2010
Externally publishedYes

Keywords

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

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