COMPARATIVE RISK AVERSION WHEN THE OUTCOMES ARE VECTORS

equivalence of various notions of comparative risk aversion of von Neumann-Morgenstern utilities in the setting with real-valued outcomes. Some of these results have been extended to the setting with outcomes in <n. We obtain ana-logues of the classical results in the setting with outcomes in ordered topological vector spaces when differentiability is not required, and in the setting with out-comes in ordered Hilbert spaces when differentiability is required, as is the case when we work with a vector-valued generalized notion of an Arrow-Pratt coeffi-cient. JEL classification: C02, D01, D81 Key words and phrases: Comparative risk aversion, vector space of outcomes, acceptance set, vector-valued risk premia, vector-valued Arrow-Pratt coefficient, Pettis integral, ordered topological vector spaces, ordered Hilbert spaces ∗ I am grateful to the Centre for Development Economics at the Delhi School of Economics for institu-tional support. All correspondence should be addressed to: Department of Economics, Delhi School of Eco