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- W3125590624 abstract "This paper introduces the concept of standard risk aversion. A von Neumann-Morgenstern utility function has standard risk if any risk makes a small reduction in wealth more painful (in the sense of an increased reduction in expected utility) also makes any undesirable, independent risk more painful. It is shown that, given monotonicity and concavity, the combination of decreasing absolute risk and decreasing absolute prudence is necessary and sufficient for standard risk aversion. Standard risk is shown to imply not only Pratt and Zeckhauser's 'proper risk aversion (individually undesirable, independent risks always being jointly undesirable) , but also that being forced to face an undesirable risk reduces the optimal investment in a risky security with and independent return. Similar results are established for the effect of broad class of increases in one risk on the desirability of (or optimal investment in) a second, independent risk." @default.
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- W3125590624 date "1991-03-01" @default.
- W3125590624 modified "2023-10-03" @default.
- W3125590624 title "Standard Risk Aversion" @default.
- W3125590624 doi "https://doi.org/10.3386/t0099" @default.
- W3125590624 hasPublicationYear "1991" @default.
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