Open AccessA Note on the Generalised Measures of Risk Aversion
Author(s) -
Tanmay Biswas
Publication year - 2012
Publication title -
review of economic analysis
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.101
H-Index - 1
ISSN - 1973-3909
DOI - 10.15353/rea.v4i1.1542
Subject(s) - spectral risk measure , measure (data warehouse) , risk aversion (psychology) , risk measure , coherent risk measure , econometrics , dynamic risk measure , economics , scalar (mathematics) , mathematics , expected utility hypothesis , mathematical economics , risk management , financial economics , computer science , expected shortfall , finance , portfolio , geometry , database
This paper is concerned with generalised scalar measures of risk aversion. A measure R which may meaningfully be applied to both unidimensional risks (risk in income or wealth) and multidimensional risks has been constructed. In case of identical preferences, we have also constructed an alternative measure of risk aversion R* which is shown to be related to the Khilstrom-Mirman measure. This relationship explains the nature of the Khilstrom-Mirman measure.