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Persistent link: https://www.econbiz.de/10013543128
In this paper we propose the infimum of the Arrow-Pratt index of absolute risk aversion as a measure of global risk aversion of a utility function. We then show that, for any given arbitrary pair of distributions, there exists a threshold level of global risk aversion such that all increasing...
Persistent link: https://www.econbiz.de/10014086925