Dual moments and risk attitudes
| Authors |
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|---|---|
| Publication date | 2022 |
| Journal | Operations Research |
| Volume | Issue number | 70 | 3 |
| Pages (from-to) | 1330-1341 |
| Organisations |
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| Abstract | 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 the canonical nonexpected utility models provided by the dual theory and rank-dependent utility, dual moments have to be used instead of, or on par with, their primal counterparts to obtain an equivalent index of absolute risk aversion. |
| Document type | Article |
| Note | With supplementary file. - In special Issue: Mathematical Models Of Individual And Group Decision Making In Operations Research (in Honor Of Kenneth Arrow). |
| Language | English |
| Published at |
https://doi.org/10.1287/opre.2020.2040
(Final published version)
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