Econometrica Vol. 55 No. 5 1987
The Ross Characterization of Risk Aversion: Strengthening and Extension
Abstract
This paper offers an interpretive comparison of the Arrow-Pratt and Ross characterizations of comparative risk aversion for expected utility maximizers. The tools used in this comparison are then applied to obtain a strengthening of the Ross cha racterization. This strengthened result is in turn extended to the ca se of general, smooth, nonexpected utility preferences over probabili ty distributions.
- DOI
- 10.2307/1911264
- Volume
- 55
- Issue
- 5
- Pages
- 1139
- Sources
- bibtex:phds-export.bib crossref openalex