In the economics of risk, the primal moments of mean and variance play a central role to define the local index of absolute risk aversion. In this note , we show that in canonical non-EU models dual moments have to be used instead of, or on par with, their primal counterparts to obtain an equivalent index of absolute risk aversion.
In decision under risk, the primal moments of mean and variance play a central role to define the local index of absolute risk aversion. In this paper , we show that in canonical non-EU models dual moments have to be used instead of, or on par with, their primal counterparts to obtain an equivalent index of absolute risk aversion.
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