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DE FINETTI ON RISK AVERSION

Published online by Cambridge University Press:  01 July 2009

Joseph B. Kadane
Affiliation:
Carnegie Mellon University
Gaia Bellone
Affiliation:
Carnegie Mellon University

Abstract

According to Mark Rubinstein (2006) ‘In 1952, anticipating Kenneth Arrow and John Pratt by over a decade, he [de Finetti] formulated the notion of absolute risk aversion, used it in connection with risk premia for small bets, and discussed the special case of constant absolute risk aversion.’ The purpose of this note is to ascertain the extent to which this is true, and at the same time, to correct certain minor errors that appear in de Finetti's work.

Type
Essay
Copyright
Copyright © Cambridge University Press 2009

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References

REFERENCES

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de Finetti, B. 1940. The Problem of ‘Full-Risk Insurances’. Journal of Investment Management 4: 1943. Translation by Luca Barone (2006).Google Scholar
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