Proper and Standard Risk Aversion in Two-Moment Decision Models

Theory and Decision 57 (3):213-225 (2004)
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Abstract

For linear distribution classes, mean-variance and expected utility specifications have been shown in the literature to be fully compatible when studying the concepts of risk aversion, prudence, risk vulnerability and temperance. This paper shows that such compatibility does hold for the concept of standard risk aversion but not for the concepts of proper risk aversion and proper prudence

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