Will a Risk‐averse Decision Maker Ever Really Prefer an Unfair Gamble?*
指出Prakash等人声称风险厌恶者可能因偏好正偏度而参与不公平赌博的证明存在根本缺陷，即不存在可微的风险偏好函数能同时满足风险厌恶和参与不公平赌博。
ABSTRACT Prakash, Chang, Hamid, and Smyser (1996) purport to show that with sufficient preference for positive skewness, risk‐averse managers might elect to engage in unfair gambles. Their “proof'’of the impossible assumes the existence of a differentiable risk‐preference function that satisfies certain assumptions about the first three derivatives. The fundamental flaw in their argument is that no differentiable function exists for which risk aversion and the participation in an unfair gamble are compatible.