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Do investors dislike kurtosis?

Author

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  • Markus Haas

    (University of Munich)

Abstract

We show that decreasing absolute prudence implies kurtosis aversion. The ``proof''' of this relation is usually based on the identification of kurtosis with the fourth centered moment of the return distribution and a Taylor approximation of the utility function. A more sound analysis is required, however, as such heuristic arguments have been shown to be logically flawed.

Suggested Citation

  • Markus Haas, 2007. "Do investors dislike kurtosis?," Economics Bulletin, AccessEcon, vol. 7(2), pages 1-9.
    • Handle: RePEc:ebl:ecbull:eb-06g00072
    as

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    References listed on IDEAS

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    5. Gulder Kemalbay & C. Murat Ozkut & Ceki Franko, 2011. "Portfolio Selection with Higher Moments: A Polynomial Goal Programming Approach to ISE-30 Index," Istanbul University Econometrics and Statistics e-Journal, Department of Econometrics, Faculty of Economics, Istanbul University, vol. 13(1), pages 41-61, Special I.

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    • G0 - Financial Economics - - General

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