Do investors dislike kurtosis?

Markus Haas

Economics Bulletin, 2007, vol. 7, issue 2, 1-9

Abstract: We show that decreasing absolute prudence implies kurtosis aversion. The ``proof''' of this relation is usually based on the identification of kurtosis with the fourth centered moment of the return distribution and a Taylor approximation of the utility function. A more sound analysis is required, however, as such heuristic arguments have been shown to be logically flawed.

JEL-codes: G0 (search for similar items in EconPapers)
Date: 2007-02-14
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Citations: View citations in EconPapers (6)

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