A note on comparative downside risk aversion

Salvatore Modica; Marco Scarsini

A note on comparative downside risk aversion

Risultato della ricerca: Article › peer review

Abstract

We provide comparative global conditions for downside risk aversion, which are similar to the ones studied by Ross for risk aversion. We define a coefficient of downside risk aversion and study its local properties.

Lingua originale	English
pagine (da-a)	267-271
Numero di pagine	5
Rivista	Journal of Economic Theory
Volume	122
Stato di pubblicazione	Published - 2005

All Science Journal Classification (ASJC) codes

Economics and Econometrics

Altri file e collegamenti

OA Link

Fingerprint Entra nei temi di ricerca di 'A note on comparative downside risk aversion'. Insieme formano una fingerprint unica.

Cita questo

@article{455b0e8ef50e4cb1a19e78f2d654b0d7,

title = "A note on comparative downside risk aversion",

abstract = "We provide comparative global conditions for downside risk aversion, which are similar to the ones studied by Ross for risk aversion. We define a coefficient of downside risk aversion and study its local properties.",

keywords = "downside risk, downside risk aversion, risk vulnerability, downside risk, downside risk aversion, risk vulnerability",

author = "Salvatore Modica and Marco Scarsini",

year = "2005",

language = "English",

volume = "122",

pages = "267--271",

journal = "Journal of Economic Theory",

issn = "0022-0531",

publisher = "Academic Press Inc.",

}

TY - JOUR

T1 - A note on comparative downside risk aversion

AU - Modica, Salvatore

AU - Scarsini, Marco

PY - 2005

Y1 - 2005

N2 - We provide comparative global conditions for downside risk aversion, which are similar to the ones studied by Ross for risk aversion. We define a coefficient of downside risk aversion and study its local properties.

AB - We provide comparative global conditions for downside risk aversion, which are similar to the ones studied by Ross for risk aversion. We define a coefficient of downside risk aversion and study its local properties.

KW - downside risk

KW - downside risk aversion

KW - risk vulnerability

KW - downside risk

KW - downside risk aversion

KW - risk vulnerability

UR - http://hdl.handle.net/10447/30096

M3 - Article

VL - 122

SP - 267

EP - 271

JO - Journal of Economic Theory

JF - Journal of Economic Theory

SN - 0022-0531

ER -