英文标题：
《Risk Aversion in the Small and in the Large under Rank-Dependent Utility》
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作者：
Louis R. Eeckhoudt and Roger J. A. Laeven
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最新提交年份：
2015
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英文摘要：
Under expected utility the local index of absolute risk aversion has played a central role in many applications. Besides, its link with the \"global\" concepts of the risk and probability premia has reinforced its attractiveness. This paper shows that, with an appropriate approach, similar developments can be achieved in the framework of Yaari\'s dual theory and, more generally, under rank-dependent utility.
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中文摘要：
在预期效用下，局部绝对风险厌恶指数在许多应用中发挥了核心作用。此外，它和“全球”风险和概率溢价概念的联系增强了它的吸引力。本文表明，如果采用适当的方法，在Yaari对偶理论的框架内，以及更普遍的秩依赖效用的框架下，可以实现类似的发展。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Mathematical Finance 数学金融学
分类描述：Mathematical and analytical methods of finance, including stochastic, probabilistic and functional analysis, algebraic, geometric and other methods
金融的数学和分析方法，包括随机、概率和泛函分析、代数、几何和其他方法
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一级分类：Mathematics 数学
二级分类：Probability 概率
分类描述：Theory and applications of probability and stochastic processes: e.g. central limit theorems, large deviations, stochastic differential equations, models from statistical mechanics, queuing theory
概率论与随机过程的理论与应用：例如中心极限定理，大偏差，随机微分方程，统计力学模型，排队论
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一级分类：Quantitative Finance 数量金融学
二级分类：Portfolio Management 项目组合管理
分类描述：Security selection and optimization, capital allocation, investment strategies and performance measurement
证券选择与优化、资本配置、投资策略与绩效评价
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