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Risk Aversion in the Approximate and the Exact Forms

 

作者: GeorgeEmir Morgan,  

 

期刊: The Engineering Economist  （Taylor Available online 1992）
卷期: Volume 37, issue 2  

页码: 137-144

 

ISSN:0013-791X

 

年代: 1992

 

DOI:10.1080/00137919208903062

 

出版商: Taylor & Francis Group

 

数据来源: Taylor

 

摘要:

A rigorous but intuitive framework is used to construct the Pratt-Arrow measures of absolute and relative risk aversion as exact measures of aversion to a general form of mean preserving spreads for any twice differentiable utility function. The derivation applies even to distributions that have undefined second or higher moments.

 

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