Watt, Richard - International Centre for Economic Research (ICER) - 2011
This paper characterizes downside risk aversion in a simple and intuitive manner. It is shown that using this … characterization one can simplify considerably a theorem by Jindapon (2010) relating to greater downside risk aversion as measured by … the prudence probability premium. The comparative statics of downside risk aversion in risk-free wealth are also …