Dual Moments and Risk Attitudes

Published 10 Dec 2016 in q-fin.RM and math.PR | (1612.03347v2)

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.

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