On risk aversion and substitution rate between risk and return.
Proceedings of a conference "Mathematical models of nature and society",
Krasnoyarsk, 2002, p. 148-153.
(translated from Russian)
The concept of Arrow-Pratt risk aversion is being generalized to
nonlinear preferences in the paper. Analogy with economic rate of
substitution is pointed out, and the concept is compared to
multicriteria decision-making problems (in particular, to Markowitz's
portfolio selection). Risk aversion has been calculated for distorted
Unavailable for downloading.