CRAINICH, David; EECKHOUDT, Louis - Center for Operations Research and Econometrics (CORE), … - 2007
The degree of downside risk aversion (or equivalently prudence) is so far usually measured by -U'''/U''. We propose here another measure, U'''/U', which has interesting properties, different from those related to -U'''/U''. It also appears that the two measures are not mutually exclusive....