|
The Ross Characterization of Risk Aversion: Strengthening and Extension
Mark J. Machina
William S. Neilson
Abstract
This paper offers an interpretive comparison of the Arrow/Pratt and Ross characterization of comparative risk aversion for expected utility maximizers. The tools used in this comparison are then applied to obtain a strengthening of the Ross characterization. This strengthened result is then extended to the case of general smooth non-expected utility preferences over probability distributions.
|
