×

The Ross characterization of risk aversion: Strengthening and extension. (English) Zbl 0635.90010

Summary: This paper offers an interpretive comparison of the Arrow/Pratt and Ross characterizations of comparative risk aversion for expected utility maximizers. The tools used in this comparison are then applied to obtain a strengthening of the Ross characterization. This strengthened result is then extended to the case of general smooth non-expected utility preferences over probability distributions.

MSC:

91B16 Utility theory
91B08 Individual preferences
PDFBibTeX XMLCite
Full Text: DOI Link