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SSRN Electronic Journal
Reversibly Greater Downside Risk Aversion by a Prudence-Based Measure
Donald C. Keenan, Arthur Snow

Paper Summary

The study found that when both the Arrow-Pratt measure (r) and the prudence measure (p) increase, people become more averse to downside risk. Conversely, when both measures decrease, people become less averse to downside risk.

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