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 | |
| Publication status | Published - 1 Jul 2010 |
| Externally published | Yes |
Keywords
- Higher-order multiplicative risk apportionment
- Higher-order relative risk aversion
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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