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Further examples of the impact of skewness on the expected utility of a risk-averse agent

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  • D. A. Peel

Abstract

Recent 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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  • D. A. Peel, 2012. "Further examples of the impact of skewness on the expected utility of a risk-averse agent," Applied Economics Letters, Taylor & Francis Journals, vol. 19(12), pages 1117-1121, August.
    • Handle: RePEc:taf:apeclt:v:19:y:2012:i:12:p:1117-1121
    DOI: 10.1080/13504851.2011.615726
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    References listed on IDEAS

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    5. Michael Cain & David Peel, 2004. "Utility and the Skewness of Return in Gambling," The Geneva Risk and Insurance Review, Palgrave Macmillan;International Association for the Study of Insurance Economics (The Geneva Association), vol. 29(2), pages 145-163, December.
    6. Ebert, Sebastian & Wiesen, Daniel, 2009. "An experimental methodology testing for prudence and third-order preferences," Bonn Econ Discussion Papers 21/2009, University of Bonn, Bonn Graduate School of Economics (BGSE).
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    Cited by:

    1. 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.
    2. Wang, Chou-Wen & Liu, Kai & Li, Bin & Tan, Ken Seng, 2022. "Portfolio optimization under multivariate affine generalized hyperbolic distributions," International Review of Economics & Finance, Elsevier, vol. 80(C), pages 49-66.
    3. 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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