Abstract
In this paper, we consider a class of mean preserving increases in risk such that all risk-averse decision makers respond to an increase in risk by reducing the level of their risky activities. The type of increase in risk that we consider is based on the notion of tail dominance which generalizes other cases previously discussed in the literature.
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References
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L. Eeckhoudt is Professor of Economics at the Catholic Faculties of Mons (Belgium) and Lille (France). P. Hansen is Professor of Operations Research at Ecole des Hautes Etudes Commerciales, Montréal. Both authors have benefited from comments by P. Caperaa, G. Dionne, J. Meyer and H. Varian. They also thank A. Coopman who carefully reviewed and improved the English style.
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Eeckhoudt, L., Hansen, P. Mean-preserving changes in risk with tail-dominance. Theor Decis 33, 23–39 (1992). https://doi.org/10.1007/BF00133981
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DOI: https://doi.org/10.1007/BF00133981