Search Results - subject:"Downside risk aversion"

Risk attitudes and premiums of U.S. corn and soybean producers: an empirical investigation

Livingston, Michael; Mishra, Ashok - In: Empirical Economics 44 (2013) 3, pp. 1337-1351

The 2000 Agricultural Risk Protection Act and 2002 Farm Security and Rural Investment Act reduced price and yield risks faced by many U.S. crop producers to low levels. We use a non-structural methodology extended for application to pseudo panels and national survey data to examine the risk...

Persistent link: https://www.econbiz.de/10010680626

On multivariate prudence

Jouini, Elyès; Napp, Clotilde; Nocetti, Diego - In: Journal of Economic Theory 148 (2013) 3, pp. 1255-1267

individuals. We also characterize the notion of multivariate downside risk aversion as a preference for disaggregating harms …

Persistent link: https://www.econbiz.de/10010665753

Do risk lovers invest in self-protection?

Jindapon, Paan - In: Economics Letters 121 (2013) 2, pp. 290-293

We show that there is a class of risk lovers who optimally choose a positive level of self-protection investment. In most cases, a risk lover increases his self-protection investment as he becomes less downside risk averse.

Persistent link: https://www.econbiz.de/10010709089

Do risk lovers invest in self-protection?

Paan Jindapon - In: Economics letters 121 (2013) 2, pp. 290-293

Persistent link: https://www.econbiz.de/10010347113

Decreasing absolute risk aversion, prudence and increased downside risk aversion

Liu, Liqun; Meyer, Jack - In: Journal of Risk and Uncertainty 44 (2012) 3, pp. 243-260

Persistent link: https://www.econbiz.de/10010863454

A note on greater downside risk aversion

Watt, Richard - International Centre for Economic Research (ICER) - 2011

This paper characterizes downside risk aversion in a simple and intuitive manner. It is shown that using this … characterization one can simplify considerably a theorem by Jindapon (2010) relating to greater downside risk aversion as measured by … the prudence probability premium. The comparative statics of downside risk aversion in risk-free wealth are also …

Persistent link: https://www.econbiz.de/10009358462

Greater prudence and greater downside risk aversion

Keenan, Donald C.; Snow, Arthur - In: Journal of Economic Theory 145 (2010) 5, pp. 2018-2026

Variation in the degree of downside risk aversion across decision makers has implications for efficient risk sharing … related to downside risk aversion, which is indicated by a positive value for u'''. Although we show that the degree of … prudence is not an accurate indicator of the degree of downside risk aversion, we nonetheless demonstrate that a uniform …

Persistent link: https://www.econbiz.de/10008860957

On the intensity of downside risk aversion

Crainich, David; Eeckhoudt, Louis - In: Journal of Risk and Uncertainty 36 (2008) 3, pp. 267-276

Persistent link: https://www.econbiz.de/10005678188

Ranking Contingent Monitoring Systems

Fagart, Marie-Cécile; Sinclair-Desgagné, Bernard - In: Management Science 53 (2007) 9, pp. 1501-1509

This paper seeks to provide a ranking of information systems in a setting of contingent monitoring. Control strategies that make the acquisition of additional information conditional on observing certain outcomes largely elude the existing ranking criteria. We show that this happens because...

Persistent link: https://www.econbiz.de/10009197740