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Moment characterization of higher-order risk preferences

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Moment characterization of higher-order risk preferences

Ebert, Sebastian - 2010

It is often said that prudence and temperance play key roles in aversion to negative skewness and kurtosis, respectively. This paper puts a new perspective on these relationships and presents a characterization of higher-order risk preferences in terms of statistical moments. An implication is,...

Persistent link: https://www.econbiz.de/10009124418