Moment characterization of higher-order risk preferences
It is often said that prudence and temperance play key roles in aversion to negative skewness and kurtosis, respectively. This paper puts a new perspective on these relationships and presents a characterization of higher-order risk preferences in terms of statistical moments. An implication is, for...
Saved in:
| Main Author: | |
|---|---|
| Format: | Book/Monograph Working Paper |
| Language: | English |
| Published: |
Bonn
Graduate School of Economics
2010
|
| Series: | Bonn econ discussion papers
17/2010 |
| In: |
Bonn Econ Discussion Papers (2010,17)
|
| Subjects: | |
| Online Access: | Verlag, Volltext: http://www.bgse.uni-bonn.de/bonn-econ-papers-1/archive/2010/sebastian-ebert-moment-characterization-of-higher-order-risk-preferences-no.-17-2010-1 Download aus dem Internet, Stand: 27.05.2011, Volltext: http://hdl.handle.net/10419/71896 
|
| Author Notes: | by Sebastian Ebert |
MARC
| LEADER | 00000cam a2200000 c 4500 | ||
|---|---|---|---|
| 001 | 66076671X | ||
| 003 | DE-627 | ||
| 005 | 20220710105136.0 | ||
| 007 | cr uuu---uuuuu | ||
| 008 | 110527s2010 gw |||||o 00| ||eng c | ||
| 024 | 7 | |a 10419/71896 |2 hdl | |
| 035 | |a (DE-627)66076671X | ||
| 035 | |a (DE-576)9660766718 | ||
| 035 | |a (DE-599)GBV66076671X | ||
| 035 | |a (OCoLC)838352533 | ||
| 040 | |a DE-627 |b ger |c DE-627 |e rakwb | ||
| 041 | |a eng | ||
| 044 | |c XA-DE | ||
| 084 | |a 17 |2 sdnb | ||
| 084 | |a D81 |2 jelc | ||
| 100 | 1 | |a Ebert, Sebastian |d 1982- |0 (DE-588)1012218635 |0 (DE-627)660766450 |0 (DE-576)345125584 |4 aut | |
| 245 | 1 | 0 | |a Moment characterization of higher-order risk preferences |c by Sebastian Ebert |
| 264 | 1 | |a Bonn |b Graduate School of Economics |c 2010 | |
| 300 | |a Online-Ressouce (PDF-Datei: 21 S., 619 KB) | ||
| 336 | |a Text |b txt |2 rdacontent | ||
| 337 | |a Computermedien |b c |2 rdamedia | ||
| 338 | |a Online-Ressource |b cr |2 rdacarrier | ||
| 490 | 1 | |a Bonn econ discussion papers |v 17/2010 | |
| 520 | |a It is often said that prudence and temperance play key roles in aversion to negative skewness and kurtosis, respectively. This paper puts a new perspective on these relationships and presents a characterization of higher-order risk preferences in terms of statistical moments. An implication is, for example, that prudence implies preference for distributions with higher skewness as defined by all odd moments. Moreover, we show that this preference is robust towards variation in kurtosis as defined by all even moments. We thus speak of the kurtosis robustness feature of prudence. Further, we show that all higher-order risk preferences of odd order imply skewness preference, but for different distributions than prudence. Similar results are presented for temperance and higher-order risk preferences of even order that can be related to kurtosis aversion and have a skewness robustness feature. -- Decision making under risk ; higher-order risk preferences ; kurtosis aversion ; moments ; prudence ; skewness preference ; temperance | ||
| 538 | |a Systemvoraussetzungen: Acrobat Reader. | ||
| 650 | 7 | |8 1.1\x |a Entscheidung unter Risiko |0 (DE-627)09135725X |0 (DE-2867)15467-5 |2 stw | |
| 650 | 7 | |8 1.2\x |a Risikopräferenz |0 (DE-627)09138690X |0 (DE-2867)15480-6 |2 stw | |
| 650 | 7 | |8 1.3\x |a Statistische Verteilung |0 (DE-627)091392136 |0 (DE-2867)15211-5 |2 stw | |
| 650 | 7 | |8 1.4\x |a Theorie |0 (DE-627)091394902 |0 (DE-2867)19073-6 |2 stw | |
| 655 | 4 | |0 (DE-206)24 |a Arbeitspapier |5 DE-206 | |
| 655 | 4 | |0 (DE-206)34 |a Graue Literatur |5 DE-206 | |
| 810 | 2 | |a Bonn Graduate School of Economics |t Bonn Econ Discussion Papers |v 2010,17 |9 2010017 |w (DE-627)372424511 |w (DE-576)281234922 |w (DE-600)2124986-6 |7 am | |
| 856 | 4 | 0 | |u http://www.bgse.uni-bonn.de/bonn-econ-papers-1/archive/2010/sebastian-ebert-moment-characterization-of-higher-order-risk-preferences-no.-17-2010-1 |x Verlag |3 Volltext |
| 856 | 4 | 0 | |u http://hdl.handle.net/10419/71896 |x Download aus dem Internet, Stand: 27.05.2011 |3 Volltext |
| 951 | |a BO | ||
| 992 | |a 20230322 | ||
| 993 | |a WorkingPaper | ||
| 994 | |a 2010 | ||
| 998 | |g 1012218635 |a Ebert, Sebastian |m 1012218635:Ebert, Sebastian |p 1 |x j |y j | ||
| 999 | |a KXP-PPN66076671X |e 4294494735 | ||
| BIB | |a Y | ||
| JSO | |a {"person":[{"family":"Ebert","given":"Sebastian","role":"aut","display":"Ebert, Sebastian"}],"recId":"66076671X","language":["eng"],"physDesc":[{"extent":"Online-Ressouce (PDF-Datei: 21 S., 619 KB)"}],"origin":[{"dateIssuedDisp":"2010","dateIssuedKey":"2010","publisherPlace":"Bonn","publisher":"Graduate School of Economics"}],"id":{"eki":["66076671X"],"hdl":["10419/71896"]},"name":{"displayForm":["by Sebastian Ebert"]},"title":[{"title_sort":"Moment characterization of higher-order risk preferences","title":"Moment characterization of higher-order risk preferences"}],"relMultPart":[{"title":[{"title":"Bonn Econ Discussion Papers / BGSE","title_sort":"Bonn Econ Discussion Papers / BGSE"}],"dispAlt":"Bonn Graduate School of Economics: Bonn Econ Discussion Papers","pubHistory":["2000-2016, 01 [?]"],"part":{"number_sort":["2010017"],"number":["2010,17"]},"origin":[{"dateIssuedKey":"2000","publisherPlace":"Bonn","publisher":"Univ.","dateIssuedDisp":"2000-2016"}],"id":{"hdl":["10419/195"],"zdb":["2124986-6"],"eki":["372424511"]},"disp":"Bonn econ discussion papers","type":{"media":"Online-Ressource","bibl":"serial"},"recId":"372424511","corporate":[{"role":"aut","roleDisplay":"VerfasserIn","display":"Bonn Graduate School of Economics"}],"language":["eng","ger"],"physDesc":[{"extent":"Online-Ressource"}],"note":["Gesehen am 03. November 2022"]}],"type":{"media":"Online-Ressource","bibl":"book"}} | ||
| SRT | |a EBERTSEBASMOMENTCHAR2010 | ||