The Generating Process and an Extension of Jewitt's Location Independent Risk Concept

A generating process of Jewitt's location independent risk concept is derived in terms of left stretches based on single crossings between distributions. For concave nondecreasing utility functions this stochastic order preserves monotonicity between risk premium and the Arrow-Pratt measure of risk aversion. We show that a stronger order, the Bickel-Lehmann notion of dispersion, preserves this monotonicity for the larger class of nondecreasing utilities.

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Year of publication:	1994
Authors:	Landsberger, Michael ; Meilijson, Isaac
Published in:	Management Science. - Institute for Operations Research and the Management Sciences - INFORMS, ISSN 0025-1909. - Vol. 40.1994, 5, p. 662-669
Publisher:	Institute for Operations Research and the Management Sciences - INFORMS
Subject:	location independent risk \| Arrow-Pratt measure \| Bickel-Lehmann dispersion \| risk premium

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Extent:	application/pdf
Type of publication:	Article
Other identifiers:	10.1287/mnsc.40.5.662 [DOI]
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10009209072