Risk aversion and expected-utility theory: a calibration exercise

DOI10.1007/S11166-007-9017-6MaRDI QIDQ2461595zbMATH OpenOpenAlexFDO

Authors Laura Schechter

Publication date 28 November 2007

Published in Journal of Risk and Uncertainty (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s11166-007-9017-6

zbMATH Keywords

Asset integrationExpected utility theoryExperimentsParaguayRisk aversion

Mathematics Subject Classification ID

Decision theory (91B06) Individual preferences (91B08) Utility theory (91B16)

Recommendations

• Risk aversion and expected utility of consumption over time
• Calibration Results for Non-Expected Utility Theories
• Risk aversion in the small and in the large: Calibration results for betweenness functionals
• Rejecting small gambles under expected utility
• Relative risk aversion: what do we know?

Cites work

• A model of reference-dependent preferences
• Another Type of Risk Aversion
• Choice bracketing. (With commentaries)
• Debates and decisions: On a rationale of argumentation rules.
• Estimating risk attitudes using lotteries: a large sample approach
• Microeconomic theory
• Myopic Loss Aversion and the Equity Premium Puzzle
• On the Theory of Risk Aversion
• Rejecting small gambles under expected utility
• Relative risk aversion: what do we know?
• Risk Vulnerability and the Tempering Effect of Background Risk
• Small- and large-stakes risk aversion: Implications of concavity calibration for decision theory

Cited in

(24)

• Risk aversion in the small and in the large: Calibration results for betweenness functionals
• Measures of risk aversion with expected and nonexpected utility
• The stochastic mitra-wan forestry model: risk neutral and risk averse cases
• A simple axiomatization of risk-averse expected utility
• Rejecting small gambles under expected utility
• Expected utility operators and possibilistic risk aversion
• Willingness to pay for risk reduction and risk aversion without the expected utility assumption
• A test for risk-averse expected utility
• On efficiency of mean-variance based portfolio selection in defined contribution pension schemes
• Calibration Results for Non-Expected Utility Theories
• Is there a plausible theory for decision under risk? A dual calibration critique
• Measuring the time stability of prospect theory preferences
• When can expected utility handle first-order risk aversion?
• The utility premium of Friedman and Savage, comparative risk aversion, and comparative prudence
• Estimating risk attitudes using lotteries: a large sample approach
• Comparing risk aversion in a probability triangle
• A --risk aversion paradox and wealth dependent utility
• A verification of the expected utility calibration theorem
• The value of a statistical life and the coefficient of relative risk aversion
• Relative risk aversion: what do we know?
• Measures of risk attitude: correspondences between mean-variance and expected-utility approaches
• Explaining satisficing through risk aversion
• Risk aversion and expected utility of consumption over time
• Risk aversion when gains are likely and unlikely: Evidence from a natural experiment with large stakes

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