2016/12/10 by Eeckhoudt, Louis R., Laeven, Roger J. A. · 2 citations
#FOS: Economics and business #FOS: Mathematics #Probability (math.PR) #Risk Management (q-fin.RM)
paper · doi:10.48550/arxiv.1612.03347
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.