Dual Moments and Risk Attitudes
Louis Eeckhoudt and
Roger Laeven ()
Papers from arXiv.org
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.
New Economics Papers: this item is included in nep-rmg and nep-upt
Date: 2016-12, Revised 2018-03
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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1612.03347
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