Do investors dislike kurtosis?

被引:0
|
作者
Haas, Markus [1 ]
机构
[1] Univ Munich, Munich, Germany
来源
ECONOMICS BULLETIN | 2007年 / 7卷
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D O I
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中图分类号
F [经济];
学科分类号
02 ;
摘要
We show that decreasing absolute prudence implies kurtosis aversion. The "proof'' of this relation is usually based on the identification of kurtosis with the fourth centered moment of the return distribution and a Taylor approximation of the utility function. A more sound analysis is required, however, as such heuristic arguments have been shown to be logically flawed.
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页数:9
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