Discrete Arrow–Pratt indexes for risk and uncertainty
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DOI: 10.1007/s00199-020-01315-8
Abstract: The Arrow–Pratt index, a gold standard in studies of risk attitudes, is not directly observable from choice data. Existing methods to measure it rely on parametric assumptions. We introduce a discrete Arrow–Pratt index, and its… read more here.
Keywords: arrow pratt; arrow; risk uncertainty; discrete arrow ... See more keywords
Greater Arrow–Pratt (Absolute) risk aversion of higher orders
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DOI: 10.1016/j.jmateco.2019.01.008
Abstract: Higher-order risk attitudes are related to higher-order moments of risk, and are unequivocally characterized by the signs and levels of higher-order derivatives of utility functions. In contrast to the direction of higher-degree risk aversion, the… read more here.
Keywords: absolute risk; risk; risk aversion; arrow pratt ... See more keywords