Econometrica

Journal Of The Econometric Society

An International Society for the Advancement of Economic
Theory in its Relation to Statistics and Mathematics

Edited by: Guido W. Imbens • Print ISSN: 0012-9682 • Online ISSN: 1468-0262

Econometrica: Sep, 1987, Volume 55, Issue 5

The Ross Characterization of Risk Aversion: Strengthening and Extension

https://www.jstor.org/stable/1911264
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.


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