Moment characterization of higher-order risk preferences

S. Ebert

Research output: Contribution to journalArticleScientificpeer-review

Abstract

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.
Original languageEnglish
Pages (from-to)267-284
JournalTheory and Decision
Volume74
Issue number2
Early online date19 May 2012
DOIs
Publication statusPublished - Feb 2013
Externally publishedYes

Fingerprint

utility theory
Skewness
Risk preferences
Kurtosis
Risk Preferences
Aversion
Temperance
Utility function
Expected utility theory
Prudence
decamethrin
Expected Utility

Keywords

  • decision making under risk
  • higher order risk preferences
  • Kurtosis aversion
  • mixed risk aversion
  • moments
  • prudence
  • skewness preference

Cite this

Ebert, S. / Moment characterization of higher-order risk preferences. In: Theory and Decision. 2013 ; Vol. 74, No. 2. pp. 267-284.
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Moment characterization of higher-order risk preferences. / Ebert, S.

In: Theory and Decision, Vol. 74, No. 2, 02.2013, p. 267-284.

Research output: Contribution to journalArticleScientificpeer-review

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