کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5069987 1373227 2006 4 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
The relationship between expected utility and higher moments for distributions captured by the Gram-Charlier class
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
پیش نمایش صفحه اول مقاله
The relationship between expected utility and higher moments for distributions captured by the Gram-Charlier class
چکیده انگلیسی

In this letter we derive the closed form solution for expected utility in terms of higher moments of the distribution of wealth when expected utility takes the CARA form and the distribution of wealth is captured by the Gram-Charlier class of distributions. We derive the condition under which positive skewness can be associated with a decrease in expected utility.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Finance Research Letters - Volume 3, Issue 4, December 2006, Pages 273-276
نویسندگان
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