A general index of absolute risk attitude

A general index of absolute risk attitude

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Article ID: iaor20103556
Volume: 56
Issue: 4
Start Page Number: 712
End Page Number: 715
Publication Date: Apr 2010
Journal: Management Science
Authors: ,
Abstract:

Many results involving expected utility theory call upon the notions of absolute risk aversion, prudence, and/or temperance. This paper exploits a representation of the Friedman–Savage utility premium (1948) to give a general foundation for such coefficients and for their higher-order extensions.

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