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Convex and decreasing absolute risk aversion is proper

Research output: Contribution to journalJournal article

Published
<mark>Journal publication date</mark>10/2014
<mark>Journal</mark>Economics Letters
Issue number1
Volume125
Number of pages3
Pages (from-to)123-125
Publication statusPublished
Original languageEnglish

Abstract

Proper risk aversion, a pivotal concept in the study of behavioral conditions on utility functions, states that an undesirable risk can never be made desirable by the presence of an independent risk. It is well known that standard risk aversion is sufficient for this concept. We show in this short article that convex and decreasing absolute risk aversion is an alternative sufficient condition.