期刊名称：CORE Discussion Papers / Center for Operations Research and Econometrics (UCL), Louvain
出版年度：2007
卷号：1
出版社：Center for Operations Research and Econometrics (UCL), Louvain
摘要：The degree of downside risk aversion (or equivalently prudence) is so far usually measured
by
!
"U ## #
U ##
. We propose here another measure,
!
U "" "
U "
, which has interesting properties,
different from those related to
!
"U ## #
U ##
. It also appears that the two measures are not
mutually exclusive. Instead, they seem to be rather complementary as shown through an
economic application.
Keywords: downside risk aversion, prudence, local and global properties.
JEL Classification: D81
