Do Investors Dislike Kurtosis?

Economics Bulletin, Vol. 7, No. 2, pp. 1-9, 2007

9 Pages Posted: 21 Feb 2007

See all articles by Markus Haas

Markus Haas

University of Kiel - Faculty of Economics and Social Sciences

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.

Keywords: Empirical finance, Kurtosis, Moment orderings, Portfolio selection

JEL Classification: C4, G1

Suggested Citation

Haas, Markus, Do Investors Dislike Kurtosis?. Economics Bulletin, Vol. 7, No. 2, pp. 1-9, 2007, Available at SSRN: https://ssrn.com/abstract=963414

Markus Haas (Contact Author)

University of Kiel - Faculty of Economics and Social Sciences ( email )

Kiel
Germany

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