Garcia, René; Renault, Éric; Semenov, Andrei - Centre Interuniversitaire de Recherche en Analyse des … - 2003
captures two aspects of preferences: as the concavity of the function increases so does his aversion to risk as well as his … ensuing risk aversion measure (1-α) should not be considered as a simple Arrow-Pratt index of relative risk aversion that … recursive utility model introduces risk aversion through the definition of a certainty equivalent of future utility that mixes …