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 |
Funding
This work is supported by National Natural Science Foundation of China (General Program) 70602012. The authors would like to thank two anonymous referees for providing valuable suggestions that have led to significant improvement in this article.
Keywords
- Higher-order multiplicative risk apportionment
- Higher-order relative risk aversion