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| Markus Haas |
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| ''Do investors dislike kurtosis?'' |
| ( 2007, Vol. 7 No.2 ) |
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| 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. |
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| Manuscript Received : Dec 12 2006 | | Manuscript Accepted : Feb 14 2007 |
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