An index of loss aversion

• 成果类型: Article
• 署名作者: Köbberling, V; Wakker, PP
• 署名单位: Maastricht University
• 刊物名称: JOURNAL OF ECONOMIC THEORY
• ISSN/ISSBN: 0022-0531
• DOI: 10.1016/j.jet.2004.03.009
• 发表日期: 2005
• 页码: 119-131
• 关键词: Loss aversion; prospect theory; rank-dependence; risk aversion

摘要

To a considerable extent, risk aversion as it is commonly observed is caused by loss aversion. Several indexes of loss aversion have been proposed in the literature. The one proposed in this paper leads to a clear decomposition of risk attitude into three distinct components: basic utility, probability weighting, and loss aversion. The index is independent of the unit of payment. The main theorem shows how the indexes of different decision makers can be compared through observed choices. (c) 2004 Elsevier Inc. All rights reserved.