Details
| Original language | English |
|---|---|
| Pages (from-to) | 109-113 |
| Number of pages | 5 |
| Journal | Mathematical social sciences |
| Volume | 61 |
| Issue number | 2 |
| Early online date | 25 Nov 2010 |
| Publication status | Published - Mar 2011 |
Abstract
We call an agent skewness affine if and only if his marginal willingness to accept a risk increases when the distribution of the risk becomes more skewed to the right. Skewness affinity is shown to be equivalent to the marginal rate of substitution between mean and variance of wealth being decreasing in the skewness. This property allows us to characterize the comparative static effect of increases in the skewness in quasi-linear decision problems. Over domains of skewness-comparable lotteries skewness affinity is equivalent to the von Neumann-Morgenstern utility index of relative temperance being smaller than three.
Keywords
- Mean, Skewness, Skewness affinity, Variance
ASJC Scopus subject areas
- Social Sciences(all)
- Sociology and Political Science
- Social Sciences(all)
- General Social Sciences
- Psychology(all)
- General Psychology
- Decision Sciences(all)
- Statistics, Probability and Uncertainty
Cite this
- Standard
- Harvard
- Apa
- Vancouver
- BibTeX
- RIS
In: Mathematical social sciences, Vol. 61, No. 2, 03.2011, p. 109-113.
Research output: Contribution to journal › Article › Research › peer review
}
TY - JOUR
T1 - Increases in skewness and three-moment preferences
AU - Eichner, Thomas
AU - Wagener, Andreas
PY - 2011/3
Y1 - 2011/3
N2 - We call an agent skewness affine if and only if his marginal willingness to accept a risk increases when the distribution of the risk becomes more skewed to the right. Skewness affinity is shown to be equivalent to the marginal rate of substitution between mean and variance of wealth being decreasing in the skewness. This property allows us to characterize the comparative static effect of increases in the skewness in quasi-linear decision problems. Over domains of skewness-comparable lotteries skewness affinity is equivalent to the von Neumann-Morgenstern utility index of relative temperance being smaller than three.
AB - We call an agent skewness affine if and only if his marginal willingness to accept a risk increases when the distribution of the risk becomes more skewed to the right. Skewness affinity is shown to be equivalent to the marginal rate of substitution between mean and variance of wealth being decreasing in the skewness. This property allows us to characterize the comparative static effect of increases in the skewness in quasi-linear decision problems. Over domains of skewness-comparable lotteries skewness affinity is equivalent to the von Neumann-Morgenstern utility index of relative temperance being smaller than three.
KW - Mean
KW - Skewness
KW - Skewness affinity
KW - Variance
UR - http://www.scopus.com/inward/record.url?scp=79952102776&partnerID=8YFLogxK
U2 - 10.1016/j.mathsocsci.2010.11.004
DO - 10.1016/j.mathsocsci.2010.11.004
M3 - Article
AN - SCOPUS:79952102776
VL - 61
SP - 109
EP - 113
JO - Mathematical social sciences
JF - Mathematical social sciences
SN - 0165-4896
IS - 2
ER -