From sure to strong diversification

Alain Chateauneuf (1) , Ghizlane Lakhnati

1 CES - Centre d'économie de la Sorbonne

This paper presents a characterization of weak risk aversion in terms of preference for sure diversification. Similarly, we show that strong risk aversion can be characterized by weakening preference for diversification,as introduced by Dekel (Econometrica 57:163,1989), in what we call preference for strong diversification.

Mots clés: Weak risk aversion; Strong risk aversion; Diversification

Domaines: Economies et finances

Alain Chateauneuf, Ghizlane Lakhnati. From sure to strong diversification. Economic Theory, 2007, 32 (3), pp.511-522. ⟨10.1007/s00199-006-0126-2⟩. ⟨hal-00271265⟩