Showing 1 - 10 of 1,630
We measure risk preferences for decisions that involve more than a single monetary attribute. According to theory, the … multivariate risk preferences correlation aversion, cross-prudence (coskewness preference) and cross-temperance (cokurtosis … aversion) determine how univariate risk preferences over attributes co-vary and interact. We obtain model-free measurements of …
Persistent link: https://www.econbiz.de/10013004097
measure based on decreasing absolute risk aversion utility function. I derive necessary and suffi cient conditions for …
Persistent link: https://www.econbiz.de/10014039652
the same for risk and ambiguity, as assumed by prospect theory, and sign‐comonotonic trade‐off consistency, the central …
Persistent link: https://www.econbiz.de/10013007231
The concept of “overconfidence” is one of the great success stories of psychological research, influencing discourse in the popular press, business, and public policy. Relative to underconfidence, overconfidence at various tasks is purportedly associated with greater narcissism, lower...
Persistent link: https://www.econbiz.de/10014344292
A new class of risk measures called cash sub-additive risk measures is introduced to assess the risk of future … sub-additive risk measures can model stochastic and/or ambiguous interest rates or defaultable contingent claims …. Practical examples are presented and in such contexts cash additive risk measures cannot be used. Several representations of the …
Persistent link: https://www.econbiz.de/10003961489
This paper presents a new axiomatic characterization of risk measures that are additive for independent random … variables. In contrast to previous work, we include an axiom that guarantees monotonicity of the risk measure. Furthermore, the …. The risk measure characterized can be regarded as a mixed exponential premium. …
Persistent link: https://www.econbiz.de/10011334834
Measuring risk aversion is sensitive to assumptions about the wealth in subjects' utility functions. Data from the same … simultaneously with risk aversion. This paper first shows how wealth estimates can be identified assuming constant relative risk … relative risk aversion. An alternative explanation is that subjects do not fully integrate their wealth with income from the …
Persistent link: https://www.econbiz.de/10010374868
We compare seven established risk elicitation methods and investigate how they robustly explain eleven kinds of risky … behavior with 760 individuals. Risk measures are positively correlated; however, their performance in explaining behavior is … heterogeneous and, therefore, difficult to assess ex ante. To close this knowledge gap, greater diversification across risk measures …
Persistent link: https://www.econbiz.de/10011539235
We compare seven established risk elicitation methods and investigate how they explain an extensive set of risky … of behavior. Using an average of seven risk elicitation methods reduces measurement noise and yields more predictive … power. A reduced set of risk items yields the same external validity as the average of all seven methods. Hence, our …
Persistent link: https://www.econbiz.de/10010461230
Persistent link: https://www.econbiz.de/10010411555