Measuring Risk Aversion
Contributors: Meyer, Jack Author
Publisher: Now Publishers; NetLibrary, Incorporated [Distributor]
Published: 2006
Place of publication: Hanover; Boulder
Language: eng
Format: [electronic resource]
ISBN-13: 9781933019925
Subjects: Risk management; Risk; Risk assessment
Description: The purpose of the survey is to summarize, discuss, and interpret published research concerning the risk aversion of decision makers who maximize expected utility. In doing this, two points are emphasized. First, any measure of risk aversion is specific to the particular outcome variable over which the measure is defined or estimated, and second when outcome variables are related, then their risk aversion measures are also related. These two points are used to show that a substantial portion of the reported variation in magnitudes and slopes of risk aversion measures from the research of the past forty years results from differences in the outcome variables, and when these differences are adjusted for, those findings are a quite consistent body of evidence.
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Table of contents: title: Abstract; title: Introduction; title: The framework; title: Functions used to represent the propensity to take risks; title: Outcomes variables and their relationships; title: The choice set assumptions; title: Miscellaneous; title: Relative risk aversion for wealth; title: Arrow-Pratt wealth; title: Other measures of wealth; title: Empirical evidence on relative risk aversion for wealth; title: Relative risk aversion for consumption; title: Relative risk aversion for profit; title: Relative risk aversion for other outcome variables; title: Omitted ariables discussion; title: Risk aversion when components are omitted; title: Summary and conclusions; title: References.