Local risk aversion in the rank dependent expected utility model: First order versus second order effects

被引：1

作者：

Courtault, JM ^{[1
]}

Gayant, JP

机构：

[1] Univ Franche Comte, Ctr Rech Strategies Econ, Paris, France

[2] Univ Paris 01, Ctr Econ Math & Econometrie, F-75231 Paris 05, France

来源：

ECONOMICS LETTERS | 1998年 / 59卷 / 02期

关键词：

local risk aversion; rank dependent expected utility model; risk premium;

D O I：

10.1016/S0165-1765(98)00043-3

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

We evaluate locally the risk premium of a lottery in the framework of the RDEU model as the sum of two terms. The first is a measure of risk aversion, while the second is a measure of spreading aversion. (C) 1998 Published by Elsevier Science S.A.

引用

页码：207 / 212

页数：6

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