Abstract
The concepts and analytical expressions of absolute and relative risk aversion, in both weak and strong senses, are explained and discussed. Examples are computed. The extension to multivariate risk aversion, the problem of background risk, and the relationship between mean-variance and expected utility (EU) models are dealt with in an EU framework. Finally, new developments in relation to the question of generalized risk aversion in a non-EU framework and to the measurement of risk aversion concepts in financial analysis are discussed.
| Original language | English |
|---|---|
| Title of host publication | Encyclopedia of Quantitative Risk Analysis and Assessment |
| Subtitle of host publication | Melnick/Risk |
| Publisher | wiley |
| Pages | 1-12 |
| Number of pages | 12 |
| ISBN (Electronic) | 9780470061596 |
| ISBN (Print) | 9780470035498 |
| DOIs | |
| State | Published - 1 Jan 2008 |
| Externally published | Yes |
Bibliographical note
Publisher Copyright:© 2008 John Wiley & Sons, Ltd. All rights reserved.
Keywords
- Arrow-Pratt coefficient
- actuarial value
- background risk
- decision weights
- expected utility
- financial markets
- generalized risk aversion
- increase in risk
- multivariate risk aversion
- properness
- prudence
- risk aversion
- risk neutral distribution
- risk premium
- risk proneness
- standardness
- strong and weak risk aversion
- vulnerability
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