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A Reconsideration of Arrow-Lind : Risk Aversion, Risk Sharing, and Agent Choice
Fesselmeyer, Eric - 2013
We consider the original Arrow-Lind framework in which a government undertakes a risky project to be shared among many taxpayers. In our model, the taxpayers decide the level of participation in the risky project. Moreover, the amount of taxes collected by the government fully finances the...
Persistent link: https://www.econbiz.de/10013091829
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Investors Facing Risk : Prospect Theory and Non-Expected Utility in Portfolio Selection
Rengifo, Erick W. - 2013
This paper focuses on the attitude of non-professional investors towards financial losses and their decisions on wealth allocation, and how these change subject to behavioral factors. Our contribution concerns the integration of behavioral elements into the classic portfolio optimization....
Persistent link: https://www.econbiz.de/10013075905
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A Reconsideration of Arrow-Lind : Risk Aversion, Risk Sharing, and Agent Choice
Fesselmeyer, Eric - 2014
We consider the original Arrow-Lind framework in which a government undertakes a risky project to be shared among many taxpayers. In our model, the taxpayers decide the level of participation in the risky project. Moreover, the amount of taxes collected by the government fully finances the...
Persistent link: https://www.econbiz.de/10013060166
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First-Order (Conditional) Risk Aversion, Background Risk and Risk Diversification
Dionne, Georges - 2011
Expected utility functions are limited to second-order (conditional) risk aversion, while non-expected utility functions can exhibit either first-order or second-order (conditional) risk aversion. We extend the concept of orders of conditional risk aversion to orders of conditional dependent...
Persistent link: https://www.econbiz.de/10013127810
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Loss aversion and mental accounting : the favorite-longshot bias in parimutuel betting
Qiu, Jianying - 2009
Persistent link: https://www.econbiz.de/10008655972
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When Can Expected Utility Handle First-Order Risk Aversion?
Dionne, Georges - 2016
Expected utility functions are limited to second-order (conditional) risk aversion, while non-expected utility functions can exhibit either first-order or second-order (conditional) risk aversion. We extend the concept of orders of conditional risk aversion to orders of conditional dependent...
Persistent link: https://www.econbiz.de/10013007752
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Loss aversion and mental accounting : the favorite-longshot bias in parimutuel betting
Qiu, Jianying - 2009
In this paper it is shown that the combination of mental accounting and loss aversion can fundamentally changes people's way of evaluating risky alternatives. The observation is applied in a market setting: Parimutuel betting markets. In parimutuel betting markets it has been found that for...
Persistent link: https://www.econbiz.de/10009734683
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Risk Measures Based on Behavioral Certainty Equivalents
Symann, Paul - 2022
This paper proves that the (negative) certainty equivalent (CE) in reference-dependent decision theories (such as Prospect Theory) always satisfies the well-known axiomatic characterisation of a monetary risk measure, although in rational Expected Utility Theory this only holds in special cases....
Persistent link: https://www.econbiz.de/10013405991
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Higher-order risk preferences in social settings : an experimental analysis
Heinrich, Timo; Mayrhofer, Thomas - 2014
We study higher-order risk preferences, i.e. prudence and temperance, next to risk aversion in social settings … decision maker. However, we do not observe an influence of social settings on prudence and temperance. Our results reveal that …Wir untersuchen neben Risikoaversion auch Risikopräferenzen höherer Ordnung, d.h. "Prudence" und "Temperance" in …
Persistent link: https://www.econbiz.de/10010417190
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Reflection for higher order risk preferences
Bleichrodt, Han; Bruggen, Paul van - 2018
preferences: we find risk aversion, prudence and intemperance for gains, but risk loving preferences, imprudence and temperance …
Persistent link: https://www.econbiz.de/10011924804