Decreasing downside risk aversion and background risk
نویسندگان
چکیده
In this paper, we show that risk vulnerability can be associatedwith the concept of downside risk aversion (DRA) and an assumption about its behavior, namely that it is decreasing inwealth. Specifically, decreasing downside risk aversion in the Arrow–Pratt and Ross senses are respectively necessary and sufficient for a zero-mean background risk to raise the aversion to other independent risks. © 2014 Elsevier B.V. All rights reserved.
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