We analyze the optimal choices of agents with utility functions whose derivatives alternate in sign, an important class that includes most of the functions commonly used in economics and finance (Mixed Risk Aversion, MRA, Caballé and Pomansky, 1996). We propose a comparative mixed risk aversion...

Mixed risk aversion (Caballe and Pomansky, 1996) defines the class of increasing utility functions that have derivatives alternating in sign, with positive odd derivatives and negative even derivatives. In this article, we characterize comparative mixed risk aversion so as to answer the...

We explore how the demand for a risky asset can be separated into an investment effect and a hedging effect by all risk-averse investors. This question has been shown to be complex when considered outside of the mean-variance framework. We restrict dependence among returns on the risky assets to...