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Dual Moments and Risk Attitudes

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  • Louis R. Eeckhoudt
  • Roger J. A. Laeven

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 canonical non-EU models dual moments have to be used instead of, or on par with, their primal counterparts to obtain an equivalent index of absolute risk aversion.

Suggested Citation

  • Louis R. Eeckhoudt & Roger J. A. Laeven, 2016. "Dual Moments and Risk Attitudes," Papers 1612.03347, arXiv.org, revised Mar 2018.
    • Handle: RePEc:arx:papers:1612.03347
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