Multiplicative risk apportionment
Document Type
Journal article
Source Publication
Mathematical Social Sciences
Publication Date
7-1-2010
Volume
60
Issue
1
First Page
79
Last Page
81
Publisher
Elsevier BV
Keywords
Higher-order relative risk aversion, Higher-order multiplicative risk apportionment
Abstract
This paper examines changes in a multiplicative risk and how these changes affect preferences in an expected-utility setting. We define higher-order multiplicative risk apportionment, via a particular classes of lottery preference and show it is equivalent to the magnitude of higher-order relative risk aversion.
DOI
10.1016/j.mathsocsci.2010.03.003
Print ISSN
01654896
Publisher Statement
Copyright © 2010 Elsevier B.V.
Access to external full text or publisher's version may require subscription.
Full-text Version
Publisher’s Version
Language
English
Recommended Citation
Wang, J., & Li, J. (2010). Multiplicative risk apportionment. Mathematical Social Sciences, 60(1), 79-81. doi: 10.1016/j.mathsocsci.2010.03.003