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


  • D. A. Peel


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.

Suggested Citation

  • 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

    1. Sebastian Ebert & Daniel Wiesen, 2009. "An experimental methodology testing for prudence and third-order preferences," Bonn Econ Discussion Papers bgse21_2009, University of Bonn, Germany.
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    Cited by:

    1. 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.
    2. 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.

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