We introduce a nonparametric method to compare risk aversion of different investors based on revealed preference methods. Using Yaari's (1969) [50] definition of “more risk averse than”, we show that it is sufficient to compare the revealed preference relations of two investors. This makes...

This paper defines the rate of substitution of one stochastic change to a random variable for another. It then focuses on the case where one of these changes is an nth degree risk increase, and the other is an mth degree risk increase, where nm⩾1. The paper shows that the rate of substitution...