A note on proper scoring rules and risk aversion

When risk averse forecasters are presented with risk neutral proper scoring rules, they report probabilities whose ratios are shaded towards 1. If elicited probabilities are used as inputs to decision-making, naive elicitors may violate first-order stochastic dominance.

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Year of publication:	2012
Authors:	Peysakhovich, Alexander ; Plagborg-Møller, Mikkel
Published in:	Economics Letters. - Elsevier, ISSN 0165-1765. - Vol. 117.2012, 1, p. 357-361
Publisher:	Elsevier
Subject:	Scoring rules \| Risk aversion \| Decision-making

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Type of publication:	Article
Classification:	C60 - Mathematical Methods and Programming. General ; D81 - Criteria for Decision-Making under Risk and Uncertainty
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011041554