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SALVATORE MODICA

A note on comparative downside risk aversion

  • Authors: MODICA S; SCARSINI MARCO
  • Publication year: 2005
  • Type: Articolo in rivista (Articolo in rivista)
  • Key words: downside risk; downside risk aversion; risk vulnerability
  • OA Link: http://hdl.handle.net/10447/30096

Abstract

We provide comparative global conditions for downside risk aversion, which are similar to the ones studied by Ross for risk aversion. We define a coefficient of downside risk aversion and study its local properties.