A Note on the Intensity of Downside Risk Aversion
University of Canterbury - Economics and Finance; The Society for Economic Research on Copyright Issues (SERCI)
Independent University of Madrid
October 1, 2010
ICER Working Paper No. 24/2010
In this note we show that the measure of intensity of downside risk aversion proposed recently by Crainich and Eeckhoudt (2007) cannot be guaranteed to exist. We do this by means of an example in which the existence of the measure depends upon the values of the parameters in the problem.
Number of Pages in PDF File: 11
Keywords: risk aversion, prudence, downside risk
JEL Classification: D81working papers series
Date posted: November 19, 2010
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