Further examples of the impact of skewness on the expected utility of a risk-averse agent
AbstractRecent literature contains numerous examples where researchers continue to assert that a positive third derivative of the utility function of a risk-averse agent implies a preference for skewness, ceteris paribus . The purpose in this letter is to provide some examples pertinent to occupational choice, the gambling literature and experimental work where the assertion is incorrect and an example relevant to experimental work where it is correct.
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Bibliographic InfoArticle provided by Taylor and Francis Journals in its journal Applied Economics Letters.
Volume (Year): 19 (2012)
Issue (Month): 12 (August)
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Web page: http://www.tandf.co.uk/journals/routledge/13504851.html
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- Chiu, Leslie J. Verteramo, 2013. "Risk Rationing and Jump Utility," 2013 Annual Meeting, August 4-6, 2013, Washington, D.C. 150589, Agricultural and Applied Economics Association.
- Chiu, Leslie J. Verteramo & Turvey, Calum G., 2013. "A Risk Rationing Model," 2013 Annual Meeting, August 4-6, 2013, Washington, D.C. 150628, Agricultural and Applied Economics Association.
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