文章基本信息

标题：Aversion to Risk and Downside Risk in the Large and in the Small under Non-Expected Utility: A Quantile Approach
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作者：Jean-Paul Chavas ; Kwansoo Kim
期刊名称：Theoretical Economics Letters
印刷版ISSN：2162-2078
电子版ISSN：2162-2086
出版年度：2015
卷号：05
期号：06
页码：784-804
DOI：10.4236/tel.2015.56090
语种：English
出版社：Scientific Research Publishing
摘要：This paper proposes a decomposition of the cost of risk (as measured by a risk premium) across intervals/quantiles of the payoff distribution. The analysis is based on general smooth risk preferences. While this includes the expected utility model as a special case, the investigation is done under a broad class of non-expected utility models. We decompose the risk premium into additive components across quantiles. Defining downside risk as the risk associated with a lower quantile, this provides a basis to evaluate the cost of exposure to downside risk. We derive a local measure of the cost of risk associated with each quantile. It establishes linkages between the cost of risk, risk preferences and the distribution of risky prospects across quantiles (as measured by quantile variance and skewness). The analysis gives new and useful information on how risk aversion, exposure to downside risk and departures from the expected utility model interact as they affect the risk premium.
关键词：Risk;Quantile;Variance;Skewness;Downside Risk