Convex and decreasing absolute risk aversion is proper

Huang, James (2014) Convex and decreasing absolute risk aversion is proper. Economics Letters, 125 (1). pp. 123-125. ISSN 0165-1765

Abstract

Proper risk aversion, a pivotal concept in the study of behavioral conditions on utility functions, states that an undesirable risk can never be made desirable by the presence of an independent risk. It is well known that standard risk aversion is sufficient for this concept. We show in this short article that convex and decreasing absolute risk aversion is an alternative sufficient condition.