Moment characterization of higher-order risk preferences

DOI10.1007/S11238-012-9307-6MaRDI QIDQ1936330zbMATHOpenAlexFDO

Authors Sebastian Ebert

Publication date 4 February 2013

Published in Theory and Decision (Search for Journal in Brave)

Full work available at URL http://hdl.handle.net/10419/71896

zbMATH Keywords

momentsprudencedecision making under riskskewness preferencemixed risk aversionhigher-order risk preferenceskurtosis aversion

Mathematics Subject Classification ID

Decision theory (91B06)

Recommendations

• Greater Arrow-Pratt (absolute) risk aversion of higher orders
• Consistency of higher order risk preferences
• Increases in skewness and three-moment preferences
• Exploring higher order risk effects
• Mixed risk aversion and preference for risk disaggregation: a story of moments

Cites work

• scientific article; zbMATH DE number 3107192 (Why is no real title available?)
• A Class of Utility Functions Containing all the Common Utility Functions
• Exploring higher order risk effects
• Mixed risk aversion
• Mixed risk aversion and preference for risk disaggregation: a story of moments
• Proper prudence, standard prudence and precautionary vulnerability
• Testing for prudence and skewness seeking

Cited in

(11)

• Skewness seeking: risk loving, optimism or overweighting of small probabilities?
• Decreasing higher-order absolute risk aversion and higher-degree stochastic dominance
• Practical implications of higher moments in risk management
• Demand for risky assets and the monotone probability ratio order
• Estimating moments in ANOVA-type mixed models
• Another look at risk apportionment
• Greater Arrow-Pratt (absolute) risk aversion of higher orders
• Moment Risks: Investment for Self and for a Firm
• Mixed risk aversion and preference for risk disaggregation: a story of moments
• Increases in skewness and three-moment preferences
• Clear preferences under partial distribution information

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