Risk aversion and expected-utility theory: A calibration exercise

@article{Schechter2007RiskAA,
  title={Risk aversion and expected-utility theory: A calibration exercise},
  author={Laura Schechter},
  journal={Journal of Risk and Uncertainty},
  year={2007},
  volume={35},
  pages={67-76}
}
  • Laura Schechter
  • Published 2007
  • Economics
  • Rabin (Econometrica 68(5):1281–1292, 2000) argues that, under expected-utility, observed risk aversion over modest stakes implies extremely high risk aversion over large stakes. Cox and Sadiraj (Games Econom. Behav. 56(1):45–60, 2006) have replied that this is a problem of expected-utility of wealth, but that expected-utility of income does not share that problem. We combine experimental data on moderate-scale risky choices with survey data on income to estimate coefficients of relative risk… CONTINUE READING

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