One theory for two different risk premia

C-Tier
Journal: Economics Letters
Year: 2012
Volume: 116
Issue: 2
Pages: 157-160

Score contribution per author:

1.005 = (α=2.01 / 1 authors) × 0.5x C-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

Abstract

Generally, in the standard presentation of the expected utility model, the risk premium represents how much a risk-averse decision maker is ready to pay to have a risk eliminated. Here, however, we introduce a different risk premium: how much should a risk (which could be the return on a financial asset) yield to be acceptable to a risk-averse decision maker. Although our risk premium is derived from the Pratt bid price, it should not be confused with it: the Pratt bid price represents the monetary compensation of a risk. The standard risk premium refers to risk-avoidance; our risk premium, however, refers to risk-taking. We then reanalyze the main results concerning risk aversion under expected utility using this risk premium tool and deduce its main properties.

Technical Details

RePEc Handle
repec:eee:ecolet:v:116:y:2012:i:2:p:157-160
Journal Field
General
Author Count
1
Added to Database
2026-01-25