Dual Moments and Risk Attitudes

被引：6

作者：

Eeckhoudt, Louis R. ^{[1
,2
]}

Laeven, Roger J. A. ^{[3
,4
,5
]}

机构：

[1] Catholic Univ Lille, I ESEG Sch Management, F-59000 Lille, France

[2] Univ Louvain, Ctr Operat Res & Econometr, B-1348 Ottignies, Belgium

[3] Univ Amsterdam, Amsterdam Sch Econ, NL-1001 NJ Amsterdam, Netherlands

[4] Eurandom, NL-5600 MB Eindhoven, Netherlands

[5] CentER, NL-5000 LE Tilburg, Netherlands

来源：

OPERATIONS RESEARCH | 2021年 / 70卷 / 03期

关键词：

risk premium; expected utility; dual theory; rank-dependent utility; local index; absolute risk aversion; EXPECTED-UTILITY; STOCHASTIC-DOMINANCE; INCREASING RISK; AVERSION; PROBABILITY; CHOICE; ORDER;

D O I：

10.1287/opre.2020.2040

中图分类号：

C93 [管理学];

学科分类号：

12 ; 1201 ; 1202 ; 120202 ;

摘要：

In decision under risk, the primal moments of mean and variance play a central role to define the local index of absolute risk aversion. In this paper, we show that in the canonical nonexpected utility models provided by the dual theory and rank-dependent utility, dual moments have to be used instead of, or on par with, their primal counterparts to obtain an equivalent index of absolute risk aversion.

引用

页码：1330 / 1341

页数：13

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