کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5101414 | 1479249 | 2017 | 10 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Greater parametric downside risk aversion
ترجمه فارسی عنوان
ریسک کاهش ریسک بزرگ پارامتریک
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کلمات کلیدی
بی نظمی ریسک، شوارتزیان، محتاطانه، محافظ قرار می دهد، محافظت از خود،
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
ریاضیات کاربردی
چکیده انگلیسی
We show that, just as an expected utility maximizer with utility function u responds to a compensated increase in risk by adjusting a control variable to reduce the degree of risk aversion measured by the Arrow-Pratt index Ru=âuâ²â²âuâ² (Diamond & Stiglitz, 1974), so the response to a compensated increase in downside risk entails adjusting the control to reduce the degree of downside risk aversion measured by the Schwarzian Su=uâ²â²â²âuâ²â(3â2)Ru2. We also show that, ceteris paribus, increases in Su and in Ru result in reduced exposure to downside risk and, therefore, greater demand for self-protection activities that reduce downside risk to future income. An increase from Su to Sv is characterized by downside risk-averse transformations of utility everywhere along a path from u to v, which together constitute what we define to be a parametric increase in downside risk aversion. These parametric increases yield comparative statics predictions not true if v is simply a downside risk-averse transformation of u, and predictions for incremental changes in risk preferences can be extended immediately to global changes.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Mathematical Economics - Volume 71, August 2017, Pages 119-128
Journal: Journal of Mathematical Economics - Volume 71, August 2017, Pages 119-128
نویسندگان
Donald C. Keenan, Arthur Snow,