Jouini, Elyès; Napp, Clotilde; Nocetti, Diego - HAL - 2013
develop a matrix-measure of multivariate prudence. Furthermore, we characterize comparative prudence, decreasing and …-Modigliani substitution effect in this multivariate setting. We also characterize the concept of multivariate downside risk aversion as a … multivariate preference for harm disaggregation. We show that our definition is equivalent to a positive precautionary saving …