Central Moments, Stochastic Dominance, and the Moment Rules

Résumé du livre

In this paper, we first develop some properties to state the relationships between the central moments and stochastic dominance for both the general utility functions and the polynomial utility functions. This leads to draw preferences of both risk averters and risk seekers on their choices of assets with different moments. Thereafter, we develop the moment rules for both risk averters and risk seekers and prove that under some conditions the moment rules for both risk averters and risk seekers are equivalent to the expected utility maximization for risk averters and risk seekers, respectively.