Prudence, temperance, edginess, and risk apportionment as decreasing sensitivity to detrimental changes
This paper shows that the notions of prudence, temperance, edginess, and, more generally, risk apportionment of any degree are the consequences of the natural idea that the sensitivity to detrimental changes should decrease with initial wealth. In the setting of Epstein and Tanny (1980), this turns out to be equivalent to the supermodularity of the expected utility for some specific 4-state lotteries.
Year of publication: |
2010
|
---|---|
Authors: | Denuit, Michel ; Rey, BĂ©atrice |
Published in: |
Mathematical Social Sciences. - Elsevier, ISSN 0165-4896. - Vol. 60.2010, 2, p. 137-143
|
Publisher: |
Elsevier |
Keywords: | Expected utility Wealth effect Supermodularity Stochastic dominance |
Saved in:
Online Resource
Saved in favorites
Similar items by person
-
Benchmark values for higher order coefficients of relative risk aversion
Denuit, Michel, (2014)
-
Some consequences of correlation aversion in decision science
DENUIT, Michel,
-
Another look at risk apportionment
Denuit, Michel, (2013)
- More ...