Salvatore Modica and Marco Scarsini THE CONVEXITY - CONE APPROACH TO COMPARATIVE RISK AND DOWNSIDE RISK
نویسندگان
چکیده
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. JEL Classification System: D81.
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