Brockett, Patrick L.; Garven, James R. - In: The Geneva Risk and Insurance Review 23 (1998) 2, pp. 127-137
This article examines the relationship between risk, return, skewness, and utility-based preferences. Examples are constructed showing that, for any commonly used utility function, it is possible to have two continuous unimodal random variables X and Y with positive and equal means, X having a...