A Simple Measure of Risk Aversion in the Large and an Application.

We introduce a simple measure of risk aversion in the large. Besides satisfying properties which are conceptually analogous to the usual properties of the Arrow-Pratt measure, the index of risk aversion in the large leads to a stronger concept of decreasing risk aversion, which necessarily imp lies decreasing absolute risk aversion but not necessarily non-increasing relative risk aversion.

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Year of publication:	2000
Authors:	Chander, P.
Institutions:	Center for Operations Research and Econometrics (CORE), École des Sciences Économiques de Louvain
Subject:	RISK \| INDEXES \| UTILITY FUNCTIONS

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Series:	Papers.
Type of publication:	Book / Working Paper
Notes:	30 pages
Classification:	D80 - Information and Uncertainty. General ; D81 - Criteria for Decision-Making under Risk and Uncertainty ; D82 - Asymmetric and Private Information ; H21 - Efficiency; Optimal Taxation
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005634228