On taking a skewed risk more than once
This paper collects results on the repeated risk-taking of skewed risks. An extensive body of theoretical and experimental literature has shown that, in one-time decision situations, humans are skewness-seeking and dislike risks that feature unlikely but large losses (i.e., negatively skewed risks)....
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| Main Author: | |
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| Format: | Article (Journal) Book/Monograph |
| Language: | English |
| Published: |
[S.l.]
SSRN
[2021]
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| DOI: | 10.2139/ssrn.3731565 |
| Online Access: | Verlag, kostenfrei: https://ssrn.com/abstract=3731565 Resolving-System, kostenfrei: https://doi.org/10.2139/ssrn.3731565 
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| Author Notes: | Sebastian Ebert |
| Summary: | This paper collects results on the repeated risk-taking of skewed risks. An extensive body of theoretical and experimental literature has shown that, in one-time decision situations, humans are skewness-seeking and dislike risks that feature unlikely but large losses (i.e., negatively skewed risks). We show that, contrary to intuition, the often-observed phenomenon of penny-picking—repeatedly taking negatively skewed risks—is not at odds with skewness-seeking, but, to the contrary, may even be caused by it. The skewness of the distribution that results from repeatedly taking a skewed risk depends in non-trivial ways on the risk-taking strategy and may even differ in sign from that of the individual risk. With sufficient time available, every risk—no matter how negatively skewed—can be gambled in such a way that, in total, skewness is positive. Because recent work has shown that skewness is decisive whether risk is taken, this result may be important for economics and finance on a fundamental level |
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| Item Description: | Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments November 16, 2020 erstellt |
| Physical Description: | Online Resource |
| DOI: | 10.2139/ssrn.3731565 |
| Access: | Open Access |