How does risk tolerance vary with stake size? This important question cannot be adequately answered if framing effects … coherent change in relative risk aversion is observed for losses. The increase in relative risk aversion over gains cannot be …

decision making under risk. Both theories incorporate well-known deviations from Expected Utility Maximization such as the … Allais paradox or the fourfold pattern of risk attitudes. Stochastic Expected Utility Theory parsimoniously extends the …

the absolute but also the relative risk premium (Sharpe ratio) of the investment opportunity, incorporating the risks and …

It has long been recognized that there is considerable heterogeneity in individual risk taking behavior but little is … known about the distribution of risk taking types. We present a parsimonious characterization of risk taking behavior by …. -- individual risk taking behavior ; latent heterogeneity ; finite mixture regression models …