Caballe, Jordi; Esteban, Joan Ma. - Departament d'Economia i Història Econòmica, … - 2002
In this paper we propose the infimum of the Arrow-Pratt index of absolute risk aversion as a measure of global risk aversion of a utility function. We then show that, for any given arbitrary pair of distributions, there exists a threshold level of global risk aversion such that all increasing...