Structural estimation of higher order risk preferences

DOI10.3982/ECTA22260MaRDI QIDQ6865625zbMATH OpenFDO

Authors Morten I. Lau, Hong Il Yoo

Publication date 2 February 2026

Published in Econometrica (Search for Journal in Brave)

Copyright license Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International

Full work available at URL https://doi.org/10.3982/ECTA22260

zbMATH Keywords

higher order risk preferenceslaboratory experimentsstructural econometricsunobserved heterogeneity

Mathematics Subject Classification ID

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

Cites work

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• On the Empirical Validity of Cumulative Prospect Theory: Experimental Evidence of Rank‐Independent Probability Weighting
• Risk apportionment: the dual story
• Skewness seeking: risk loving, optimism or overweighting of small probabilities?
• Standard Risk Aversion
• Stronger measures of higher-order risk attitudes
• Structural estimation of higher order risk preferences
• Testing for prudence and skewness seeking
• The Probability Weighting Function
• The Risk-Averse (and Prudent) Newsboy

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