Article ID Journal Published Year Pages File Type
5069987 Finance Research Letters 2006 4 Pages PDF
Abstract

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.

Related Topics
Social Sciences and Humanities Economics, Econometrics and Finance Economics and Econometrics
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