Nonparametric comparative revealed risk aversion

• 成果类型: Article
• 署名作者: Heufer, Jan
• 署名单位: Dortmund University of Technology
• 刊物名称: JOURNAL OF ECONOMIC THEORY
• ISSN/ISSBN: 0022-0531
• DOI: 10.1016/j.jet.2014.07.015
• 发表日期: 2014
• 页码: 569-616
• 关键词: Comparative risk aversion; Experimental economics; Nonparametric analysis; revealed preference; risk preference

摘要

We introduce a nonparametric method to compare risk aversion of different investors based on revealed preference methods. Using Yaari's (1969) [50] definition of more risk averse than, we show that it is sufficient to compare the revealed preference relations of two investors. This makes the approach operational; the central rationalisability theorem provides strong support for this approach. We also provide a measure of economic significance to quantify the differences in risk aversion, which can also help to interpret differences in risk aversion in parametric models. The approach is an alternative or complement to parametric approaches and a robustness check. As a necessary first step towards this comparative approach we show how to test data for consistency with stochastic dominance relations, which can also be used to recover larger parts of preferences. We include an application to experimental data by Choi et al. (2007) [10.11] which demonstrates the potential of the comparative approach. (C) 2014 Elsevier Inc. All rights reserved.