Comparative Ross Risk Aversion in the Presence of Mean Dependent Risks

G. Dionne, Jingyuan Li
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引用次数: 6

Abstract

This paper studies comparative risk aversion between risk averse agents in the presence of a background risk. Our contribution differs from most of the literature in two respects. First, background risk does not need to be additive or multiplicative. Second, the two risks are not necessarily mean independent, and may be conditional expectation increasing or decreasing. We show that our order of cross Ross risk aversion is equivalent to the order of partial risk premium, while our index of decreasing cross Ross risk aversion is equivalent to decreasing partial risk premium. These results generalize the comparative risk aversion model developed by Ross for mean independent risks. Our theoretical results are related to utility functions having the n-switch independence property.
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平均依赖风险存在下的比较罗斯风险厌恶
本文研究了存在背景风险时风险厌恶主体之间的比较风险厌恶。我们的贡献与大多数文献在两个方面不同。首先,背景风险不需要是相加的或相乘的。第二,这两种风险并不一定意味着独立,可能是条件预期的增加或减少。证明了交叉罗斯风险厌恶的阶数等于部分风险溢价的阶数,而减少交叉罗斯风险厌恶的指数等于减少部分风险溢价的阶数。这些结果推广了Ross针对平均独立风险开发的比较风险厌恶模型。我们的理论结果与具有n开关无关性质的效用函数有关。
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