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Markus Haas
 
''Do investors dislike kurtosis?''
( 2007, Vol. 7 No.2 )
 
 
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.
 
 
Keywords:
JEL: G0 - Financial Economics: General
 
Manuscript Received : Dec 12 2006 Manuscript Accepted : Feb 14 2007

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