Dual Moments and Risk Attitudes
Risk Management
2018-03-14 v2 Probability
Abstract
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 canonical non-EU models dual moments have to be used instead of, or on par with, their primal counterparts to obtain an equivalent index of absolute risk aversion.
Keywords
Cite
@article{arxiv.1612.03347,
title = {Dual Moments and Risk Attitudes},
author = {Louis R. Eeckhoudt and Roger J. A. Laeven},
journal= {arXiv preprint arXiv:1612.03347},
year = {2018}
}