In this paper we propose benchmark values for the coefficients of relative risk aversion and relative prudence on the basis of a binary choice model where the decision maker chooses between aggregating or disaggragating multiplicative risks. We relate our results to the decison maker’s willingness to trade-off the second with the first and the third (central) moment of his wealth distribution
In this paper, several portfolio choice models are studied: a purely possibilistic model in which th...
In this paper, we consider the composition of an optimal portfolio made of two dependent risky asset...
International audienceIn this paper, we consider the composition of an optimal portfolio made of two...
In this paper we propose benchmark values for the coefficients of relative risk aversion and relati...
Abstract In this paper we propose benchmark values for the coefficients of relative risk aversion an...
In this paper we apply to multiplicative lotteries the idea of preference for “harm disaggregation” ...
The existing literature on savings, insurance, and portfolio choices under risk has revealed that qu...
Modeling risk in a prescriptively plausible way represents a major issue in decision theory. The be...
Kimball (1990) introduces risk prudence both as a definition from derivatives of a utility function ...
Risk aversion—but also the higher-order risk preferences of prudence and temperance—are fundamental ...
International audienceWe investigate the properties of the premium that a risk-averse individual is ...
The relationship between willingness to pay (WTP) to reduce the probability of an adverse event and ...
We consider the risk premium demanded by a decision maker with wealth x in order to be indifferent b...
Higher order risk preferences are important determinants of choices under uncertainty. We build a qu...
International audienceThe relationship between willingness to pay (WTP) to reduce the probability of...
In this paper, several portfolio choice models are studied: a purely possibilistic model in which th...
In this paper, we consider the composition of an optimal portfolio made of two dependent risky asset...
International audienceIn this paper, we consider the composition of an optimal portfolio made of two...
In this paper we propose benchmark values for the coefficients of relative risk aversion and relati...
Abstract In this paper we propose benchmark values for the coefficients of relative risk aversion an...
In this paper we apply to multiplicative lotteries the idea of preference for “harm disaggregation” ...
The existing literature on savings, insurance, and portfolio choices under risk has revealed that qu...
Modeling risk in a prescriptively plausible way represents a major issue in decision theory. The be...
Kimball (1990) introduces risk prudence both as a definition from derivatives of a utility function ...
Risk aversion—but also the higher-order risk preferences of prudence and temperance—are fundamental ...
International audienceWe investigate the properties of the premium that a risk-averse individual is ...
The relationship between willingness to pay (WTP) to reduce the probability of an adverse event and ...
We consider the risk premium demanded by a decision maker with wealth x in order to be indifferent b...
Higher order risk preferences are important determinants of choices under uncertainty. We build a qu...
International audienceThe relationship between willingness to pay (WTP) to reduce the probability of...
In this paper, several portfolio choice models are studied: a purely possibilistic model in which th...
In this paper, we consider the composition of an optimal portfolio made of two dependent risky asset...
International audienceIn this paper, we consider the composition of an optimal portfolio made of two...