Marco Scarsini, Salvatore Modica
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.
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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.
Key concepts: Downside risk, Risk aversion (psychology), Economics, Financial economics, Econometrics, Expected utility hypothesis, Portfolio