Abstract
The measure of risk aversion is usually given by the Arrow-Pratt index, which is referred to the neo-Bernoullian utility. But a more general measure is necessary if we accept that a preference model can be considered without assuming, for instance, the independence axiom. A new index of risk aversion is proposed in this paper. It requires only the existence of a certainty equivalent for each action. This index turns out to be zero when the von Neumann-Morgenstern axioms hold and its derivative to be proportional to the Arrow-Pratt index.
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References
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© 1986 D. Reidel Publishing Company
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Montesano, A. (1986). A Measure of Risk Aversion in Terms of Preferences. In: Daboni, L., Montesano, A., Lines, M. (eds) Recent Developments in the Foundations of Utility and Risk Theory. Theory and Decision Library, vol 47. Springer, Dordrecht. https://doi.org/10.1007/978-94-009-4616-3_21
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DOI: https://doi.org/10.1007/978-94-009-4616-3_21
Publisher Name: Springer, Dordrecht
Print ISBN: 978-94-010-8551-9
Online ISBN: 978-94-009-4616-3
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