Relatieve risico aversie

Wat is relatieve risico aversie?

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De meeste informatie over relatieve risico-aversie is in het Engels te vinden. Bijvoorbeeld:


Absolute v/s Relative Risk-aversion

In simple terms, what we are measuring above is the actual dollar amount an individual will choose to hold in risky assets, given a certain wealth level w. For this reason, the measure described above is referred to as a measure of absolute risk-aversion.

If we want to measure the percentage of wealth held in risky assets, for a given wealth level w, we simply multiply the Arrow-pratt measure of absolute risk-aversion by the wealth w, to get a measure of relative risk-aversion, i.e.:

The Arrow-Pratt measure of relative risk-aversion is = -[w * u"(w)]/u'(w).
We can also classify the type of risk-aversion within these two main categories.

How Absolute Risk-Aversion Changes with Wealth

Type of Risk-Aversion Description Example of Bernoulli Function
Increasing absolute risk-aversion As wealth increases, hold fewer dollars in risky assets w-cw2
Constant absolute risk-aversion As wealth increases, hold the same dollar amount in risky assets -e-cw
Decreasing absolute risk-aversion As wealth increases, hold more dollars in risky assets ln(w)


How Relative Risk-Aversion Changes with Wealth

Type of Risk-Aversion Description Example of Bernoulli Function
Increasing relative risk-aversion As wealth increases, hold a smaller percentage of wealth in risky assets w - cw2
Constant relative risk-aversion As wealth increases, hold the same percentage of wealth in risky assets ln(w)
Decreasing relative risk-aversion As wealth increases, hold a larger percentage of wealth in risky assets -e2w-1/2

Bron:
http://www.econport.or..._advanced_riskaversion

Nog een link:
http://en.wikipedia.org/wiki/Risk_aversion

Beter laat dan nooit?
Roan | 03-10-2008 16:30 Spacer

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