The Econometric SocietyEdited by: Guido W. Imbens • Print ISSN: 0012-9682 • Online ISSN: 1468-0262
Econometrica: Sep, 1987, Volume 55, Issue 5
https://doi.org/0012-9682(198709)55:5<1139:TRCORA>2.0.CO;2-S
p. 1139-1149
Mark J. Machina, William S. Neilson
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.
