The convexity-cone approach to comparative risk and downside risk

Modica, Salvatore and Scarsini, Marco (2003) The convexity-cone approach to comparative risk and downside risk. [Working Paper]. p. 16. ICER Working Papers - Applied Mathematics Series (No. 01-2003). (Submitted)

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Abstract/Index

Based on Jewitt (1986) we try to find a characterization of comparative downside risk aversion and love. The desired characterizations involve the decomposition of the dual of the intersection of two convexity cones. The decomposition holds in the case of downside risk love, but not in the case of downside risk aversion. A counterexample is provided.


Item Type:Report / Paper (Working Paper)
Research documents and activity classification:Working Papers > Non-Refereed Working Papers / of national relevance only
Divisions:Department of Business and Management
Uncontrolled Keywords:Convexity cones; risk; downside risk; risk aversion; dual cones.
MIUR Scientific Area:Area 13 - Economics and Statistics > SECS-S/01 Statistics
Deposited By:Maria Teresa Nistico
Deposited On:21 Dec 2010 12:04
Last Modified:21 Dec 2010 13:02

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