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The Probability Premium Approach to Comparative Risk Aversion
(Private Enterprise Research Center, Texas A&M University, 2015-04-23)
In the framework of expected utility, nth-degree risk aversion/loving is unequivocally characterized by the sign of the nth-order derivative of the utility function, but there exist different notions of one decision maker ...
Tradeoffs for Downside Risk-Averse Decision-Makers and the Self-Protection Decision
(Private Enterprise Research Center, Texas A&M University, 2015-09-01)
Agents who are averse to increases in downside risk are defined as being averse to changes that shift a certain amount of risk to a lower income level. For downside risk averse decision makers, there are several tradeoffs ...