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Abstract
In this paper we propose the infimum of the ArrowPratt index of absolute risk aversion as a measure of global risk aversion of a utility function. We show that, for any given arbitrary pair of distributions, there exists a threshold level of global risk aversion such that all increasing concave utility functions with at least as much global risk aversion would rank the two distributions in the same way. Furthermore, this threshold level is sharp in the sense that, for any lower level of global risk aversion, we can find two utility functions in this class yielding opposite preference relations for the two distributions.
Original language  English 

Number of pages  25 
Publication status  Published  Oct 2003 
Publication series
Name  CREABarcelona Economics 

No.  9 
Keywords
 Risk aversion
 Stochastic dominance
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Dive into the research topics of 'Stochastic Dominance and Absolute Risk Aversion'. Together they form a unique fingerprint.Projects
 1 Finished

Efectes reals de la política monetària
Caballé, J. (Principal Investigator), Erosa Etchebehere, A. (Researcher on contract), Guaitoli ., D. (Researcher on contract), Raurich Puigdevall, F. X. (Researcher on contract), Rodriguez Mendizabal, H. (Researcher on contract), Jarque Ribera, X. (Investigator), Panadès Martí, J. (Investigator), Pappa , E. (Investigator), Petith , H. C. (Investigator) & Sorolla Amat, V. (Investigator)
Ministerio de Ciencia y Tecnología (MCYT)
10/12/03 → 19/11/06
Project: Research Projects and Other Grants