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Suppose I want to minimize certain risk sensitive cost. Is it a valid question to ask what is the proper (also in which sense) choice of risk aversion parameter in the risk-sensitive cost-criterion ? It has to be positive to be risk-aversive. But, the more it will be it will be better. Right? Is there any trade-off here ?

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I don't think that your question is clear enough. Do you have a specific criterion you are targeting? –  Kiwiakos Jul 30 '14 at 11:04

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