The Ross Characterization of Risk Aversion: Strengthening and Extension

Mark J. Machina · William S. Neilson

53 citations0/0 files storedEconometrica

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Decision-Making and Behavioral Economics Economic and Environmental Valuation Economic theories and models

Abstract

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 cha racterization. This strengthened result is in turn extended to the ca se of general, smooth, nonexpected utility preferences over probabili ty distributions. Copyright 1987 by The Econometric Society.

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References

1972Essays in the Theory of Risk-Bearing.1982"Expected Utility" Analysis without the Independence Axiom 1992Market Insurance, Self-Insurance, and Self-Protection 1983A Generalization of the Quasilinear Mean with Applications to the Measurement of Income Inequality and Decision Theory Resolving the Allais Paradox 1981Some Stronger Measures of Risk Aversion in the Small and the Large with Applications 1987Risk aversion in the theory of expected utility with rank dependent probabilities 1982A Stronger Characterization of Declining Risk Aversion 1985Decreasing Risk Aversion and Mean-Variance Analysis

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2014Principles of Financial Economics 1990Demand for risky financial assets: A portfolio analysis 2002Comparative Risk Sensitivity with Reference-Dependent Preferences 2013Substituting one risk increase for another: A method for measuring risk aversion 2004Alternatives to Expected Utility: Formal Theories 1990

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