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Eeckhoudt, L. and Laeven, R. (2022). Dual moments and risk attitudes Operations Research, 70(3):1330--1341.

  • Journal
    Operations Research
View publication

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 the canonical nonexpected utility models provided by the dual theory and rank-dependent utility, dual moments have to be used instead of, or on par with, their primal counterparts to obtain an equivalent index of absolute risk aversion.