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arxiv: 1612.03347 · v2 · pith:DTPRR4FKnew · submitted 2016-12-10 · 💱 q-fin.RM · math.PR

Dual Moments and Risk Attitudes

classification 💱 q-fin.RM math.PR
keywords riskmomentsabsoluteaversiondualindexprimalattitudes
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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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