On the intensity of downside risk aversion

Crainich, David;Eeckhoudt, Louis
(2007)

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Authors
  • Crainich, DavidUniversité catholique de Lille
    Author
  • Eeckhoudt, LouisUniversité catholique de Louvain
    Author
Abstract
The degree of downside risk aversion (or equivalently prudence) is so far usually measured by -U'''/U''. We propose here another measure, U'''/U', which has interesting properties, different from those related to -U'''/U''. It also appears that the two measures are not mutually exclusive. Instead, they seem to be rather complementary as shown through an economic application.
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  • Institution iconUCLouvainEURE/CORE - Center for operations research and econometrics

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Crainich, D., & Eeckhoudt, L. (2007). On the intensity of downside risk aversion. https://hdl.handle.net/2078.5/250195