Dual Moments and Risk Attitudes

• 成果类型: Article; Early Access
• 署名作者: Eeckhoudt, Louis R.; Laeven, Roger J. A.
• 署名单位: University of Amsterdam; Tilburg University
• 刊物名称: OPERATIONS RESEARCH
• ISSN/ISSBN: 0030-364X
• DOI: 10.1287/opre.2020.2040
• 发表日期: 2021
• 关键词: EXPECTED-UTILITY; stochastic-dominance; increasing risk; aversion; probability; CHOICE; ORDER

摘要

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 the canonical nonexpected utility models provided by the dual theory and rank-dependent utility, dual moments have to be used instead of, or on par with, their primal counterparts to obtain an equivalent index of absolute risk aversion.