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)....
Gespeichert in:
| 1. Verfasser: | |
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| Dokumenttyp: | Article (Journal) Book/Monograph |
| Sprache: | Englisch |
| Veröffentlicht: |
[S.l.]
SSRN
[2021]
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| DOI: | 10.2139/ssrn.3731565 |
| Online-Zugang: | Verlag, kostenfrei: https://ssrn.com/abstract=3731565 Resolving-System, kostenfrei: https://doi.org/10.2139/ssrn.3731565 
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| Verfasserangaben: | Sebastian Ebert |
MARC
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| 520 | |a 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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