A proposal of an intensity of higher-order risk aversion -theory and applications-

2014 Fiscal Year Final Research Report

• Project/Area Number: 23730202
• Research Category: Grant-in-Aid for Young Scientists (B)
• Allocation Type: Multi-year Fund
• Research Field: Economic theory
• Research Institution: Osaka Sangyo University
• Principal Investigator: YUSUKE Osaki 大阪産業大学, 経済学部, 准教授 (80511302)
• Project Period (FY): 2011-04-28 – 2015-03-31
• Keywords: 高次リスク回避度 / 高次リスク / 予備的貯蓄 / 比較静学

Outline of Final Research Achievements

An intensity of higher-order risk aversion is captured by a kind of curvature of higher order derivatives of (von Neumann-Morgenstern) utility function. Signs of their higher-order derivatives represents preferences for higher-order risks which can related higher-order moments. Eeckhoudt and Schlesinger (2006) proposed a framework to characterize higher-order risk aversion. This research project characterized an intensity of higher-order risk aversion in their framework. Our intensity can be seen as an extension of Arrow-Pratt risk aversion. This research project examine how an intensity of higher-order risk aversion relate an equilibrium risk-free rate.

Free Research Field

リスクの経済学、ファイナンス