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Multidimensional risk aversion: the cardinal sin
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DOI：10.1007/s10479-022-04863-5.png)
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Abstract
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Attitudes towards multidimensional risk depend both on the shape of the indifference map under certainty and on the degree of concavity of the utility function representing preferences under risk. A decomposition of the risk premium is built on the new notion of compensated risk aversion. The balance between the two components is shown to depend on the association of the risks. Several applications are also presented, including the intertemporal model.
Keywords:
Utility theory
Multivariate risk aversion
Risk premium
Compensated risk aversion
Strength of preferences
Intertemporal risk attitude
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