Skewness as an explanation of gambling by locally risk averse agents

Within the expected utility framework skewness of return has been suggested as a rationale for why risk averse gamblers might choose to gamble when expected returns are negative. The argument is that risk-averse agents desire positive skewness, ceteris paribus, and are prepared to trade off a lower mean return for more skewness. This article demonstrates with a counter example that this argument is, in general, erroneous.

MoreLess

Year of publication:	2002
Authors:	Cain, M. ; Peel, D. ; Law, D.
Published in:	Applied Economics Letters. - Taylor & Francis Journals, ISSN 1350-4851. - Vol. 9.2002, 15, p. 1025-1028
Publisher:	Taylor & Francis Journals

More details

Extent:	text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10009189310