Risk Aversion in the Small with Applications to Portfolio Analysis
نویسنده
چکیده
The concept of risk aversion was introduced by Pratt in 1964 for expected utility framework, and has attracted much attention as an important quantitative characteristic of individual attitude to risk. The current paper extends the concept to other decision-making frameworks, and presents exact quantitative results for distorted probability functional. Applications of the concept to portfolio analysis, and its relation with diversification concept are also being studied.
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