Econometrica: Sep 1987, Volume 55, Issue 5
The Ross Characterization of Risk Aversion: Strengthening and Extension
Mark J. Machina, William S. NeilsonThis paper offers an interpretive comparison of the Arrow/Pratt and Ross characterization of comparative risk aversion for expected utility maximizers. The tools used in this comparison are then applied to obtain a strengthening of the Ross characterization. This strengthened result is then extended to the case of general smooth non-expected utility preferences over probability distributions.
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