Eliciting Risk Preferences and Elasticity of Substitution

DOI10.1287/deca.2020.0415OpenAlexW3085272731MaRDI QIDQ4991770

Johan Burgaard, Mogens Steffensen

Publication date: 3 June 2021

Published in: Decision Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1287/deca.2020.0415

zbMATH Keywords

questionnairecertainty equivalentsconstant equivalentsnonrecursive separationsubjective discounting

Mathematics Subject Classification ID

Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Related Items (2)

Equilibrium investment with random risk aversion ⋮ On retirement time decision making

Uses Software

• S-PLUS
• MEMSS

Cites Work

• On time-inconsistent stochastic control in continuous time
• Eliciting individual discount rates
• Personal finance and life insurance under separation of risk aversion and elasticity of substitution
• Measuring time and risk preferences in an integrated framework
• Can intertemporal choice experiments elicit time preferences for consumption?
• The Power of Suggestion: Inertia in 401(k) Participation and Savings Behavior
• Parameter-Free Elicitation of Utility and Probability Weighting Functions
• Eliciting Risk and Time Preferences
• Stochastic Differential Utility
• Multivariate Risk Aversion, Utility Independence and Separable Utility Functions
• Prospect Theory: An Analysis of Decision under Risk
• Eliciting von Neumann-Morgenstern Utilities When Probabilities Are Distorted or Unknown
• Mixed-Effects Models in S and S-PLUS
• MULTIATTRIBUTE UTILITY THEORY, INTERTEMPORAL UTILITY, AND CORRELATION AVERSION
• Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework

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