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 |
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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