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Preference Parameters and Behavioral Heterogeneity : An Experimental Approach in the Health and Retirement Survey

Barsky, Robert; Kimball, Miles S.; Juster, F. Thomas; … - 2021

Individuals' preferences underlying most economic behavior are likely to display substantial heterogeneity. This paper reports on direct measures of preference parameters relating to risk tolerance, time preference, and intertemporal substitution. These experimental measures are based on survey...

Persistent link: https://www.econbiz.de/10013210685

Variable Selection for Portfolio Choice

Ait-Sahalia, Yacine - 2010

-expected utility (ambiguity aversion and prospect theory) objectives and characterize their market-timing, horizon effects, and hedging … importantly, in what combination. We consider investors with both expected utility (mean-variance and CRRA) and non …

Persistent link: https://www.econbiz.de/10012763209

Salience Theory of Choice Under Risk

Bordalo, Pedro - 2015

We present a theory of choice among lotteries in which the decision maker's attention is drawn to (precisely defined …) salient payoffs. This leads the decision maker to a context-dependent representation of lotteries in which true probabilities … are replaced by decision weights distorted in favor of salient payoffs. By endogenizing decision weights as a function of …

Persistent link: https://www.econbiz.de/10013038557

A New Method of Estimating Risk Aversion

Chetty, Raj - 2003

beyond those of expected utility theory. It is shown that the curvature of the utility function is directly related to the …

Persistent link: https://www.econbiz.de/10012786381

Survival Ambiguity and Welfare

Caliendo, Frank - 2017

Nearly all life-cycle models adopt Yaari's (1965) assumption that individuals know the survival probabilities that they face. Given that an individual's exact survival probabilities are likely unknown, we explore the implications of relaxing this assumption. If there is no annuity market, then...

Persistent link: https://www.econbiz.de/10012950059

Ambiguity and Asset Markets

Epstein, Larry G. - 2010

inconsistent with subjective expected utility theory (SEU), the standard model of choice under uncertainty in financial economics …

Persistent link: https://www.econbiz.de/10013141267

Negative Expected Value Suits

Bebchuk, Lucian A. - 2021

When the cost of a suit exceeds the expected judgment, will a potential plaintiff be able to extract any amount in settlement from the defendant? If so, what is the source of the plaintiff's ability to extract a settlement? This essay discusses existing theories as to why (and when) plaintiffs...

Persistent link: https://www.econbiz.de/10013240952