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Decreasing downside risk aversion and background risk
Journal article   Peer reviewed

Decreasing downside risk aversion and background risk

David Crainich, Louis Eeckhoudt and Olivier Le Courtois
Journal of Mathematical Economics, pp.59-63
01/08/2014

Abstract

Downside risk aversion Background risk Risk vulnerability
In this paper, we indicate that risk vulnerability can be associated with the concept of downside risk aversion (DRA) and an assumption about its behavior, namely that it is decreasing in wealth. Specifically, decreasing downside risk aversion in the Arrow-Pratt and Ross senses are respectively necessary and sufficient for a background risk to raise the aversion to other independent risks.
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INCIP_GED_FICJOINT_21493
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INCIP_GED_FICJOINT_21703
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Collaboration types
Domestic collaboration
International collaboration
Citation topics
6 Social Sciences
6.122 Economic Theory
6.122.1287 Risk Preferences
Web of Science research areas
Economics
Mathematics, Interdisciplinary Applications
Social Sciences, Mathematical Methods
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