Landsberger, Michael; Meilijson, Isaac - In: Review of Economic Studies 60 (1993) 2, pp. 479-85
Consider risk-averse agents with utility functions U and V holding portfolios composed of the same two (risky and riskless) assets. Then, V is (Arrow) more risk averse if in all such portfolios V invests less in the risky asset. A natural extension of this analysis of attitudes towards risk to...