Downside Risk Aversion and the Downside Risk Premium

被引：3
|
作者：
Stapleton, Richard C. [1 ]
Zeng, Qi [2 ]
机构：
[1] Univ Manchester, Manchester, Lancs, England
[2] Univ Melbourne, Melbourne, Vic, Australia
来源：
JOURNAL OF RISK AND INSURANCE | 2018年 / 85卷 / 02期
关键词：
SKEWNESS PREFERENCE; PRUDENCE;
D O I：
10.1111/jori.12241
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
We search for a definition of the downside risk premium analogous to the Pratt-Arrow definition of the risk premium. However, even in the local analysis difficulties arise. To overcome these, we propose a definition based on the difference between two gambles. Further, a global analysis reveals that higher-order terms affect the downside risk premium and these cannot be ignored. We show that all five measures of the intensity of downside risk aversion that have been suggested are invalid in the case of the global analysis.
引用
收藏
页码：379 / 395
页数：17
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