Volume 36 (1), 2005Chiu, W. H. Degree of downside risk aversion and self-protection. 93-101. This paper shows that, identifying individuals with their utility functions, Àv 000 ðxÞ=v 00 ðxÞ Àu 000 ðxÞ=u 00 ðxÞ for all x implies that individual v's optimal choice of self-protection expenditure is larger than individual u's, provided that marginal increases in self-protection expenditure from u's optimal choice are mean-preserving. The result clarifies the relationship between self-protection and downside risk …
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