Dual Moments and Risk Attitudes
نویسندگان
چکیده
The well-known Pratt–Arrow approximation, developed independently by John W. Pratt and Kenneth Arrow, provides an insightful dissection of the risk premium under expected utility (EU) model. It is given one-half product variance local index absolute aversion decision maker. Quite surprisingly, despite many important developments on “global” in non-EU models, “local” approach to has received little attention outside EU. By considering first two dual moments, mean maxiance, equal footing with primal variance, authors develop a popular rank-dependent (RDU) This yields simple approximation RDU
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ژورنال
عنوان ژورنال: Operations Research
سال: 2022
ISSN: ['1526-5463', '0030-364X']
DOI: https://doi.org/10.1287/opre.2020.2040