Moment characterization of higher-order risk preferences

被引：0

作者：

Sebastian Ebert

机构：

[1] University of Bonn,Institute for Financial Economics and Statistics

来源：

Theory and Decision | 2013年 / 74卷

关键词：

Decision making under risk; Higher-order risk preferences; Kurtosis aversion; Mixed risk aversion; Moments; Prudence; Skewness preference; D81;

D O I：

暂无

中图分类号：

学科分类号：

摘要：

This article presents a characterization of higher-order risk preferences such as prudence or temperance in terms of statistical moments. Our results, which are generalizations of Roger (Theory Decis, 70(1):27–44, 2011) and Ekern (Econ Lett, 6(4), 329–333, 1980), give a better understanding of how higher-order risk preferences relate to skewness preference and kurtosis aversion. While they are not based on expected utility theory, an implication within that theory is that all commonly used utility functions exhibit skewness preference and kurtosis aversion.

引用

页码：267 / 284

页数：17

共 17 条

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