Greater downside risk aversion in the large

Abstract

In this paper, we advance a definition of greater downside risk aversion that applies to both large and small changes in risk preference, and thereby complements the results for small changes reported previously. We show that a downside riskaverse transformation of a utility function results in a function that is more downside risk averse in the same manner… (More)
DOI: 10.1016/j.jet.2008.08.007

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