Chapman, David A.; Polkovnichenko, Valery - In: Review of Finance 15 (2011) 4, pp. 909-927
If an individual with expected utility and a reasonable level of wealth rejects a small actuarially favorable gamble, it implies a very high degree of risk aversion. It also predicts (counterfactually) the rejection of more sizable and very attractive bets. If additional background uncertainty...