Articlegreen2007

On the Intensity of Downside Risk Aversion

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Decision-Making and Behavioral Economics Financial Literacy, Pension, Retirement Analysis Risk and Portfolio Optimization

Abstract

The degree of downside risk aversion (or equivalently prudence) is so far usually measured by -U'''/U''. We propose here another measure, U'''/U', which has interesting properties, different from those related to -U'''/U''. It also appears that the two measures are not mutually exclusive. Instead, they seem to be rather complementary as shown through an economic application.

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