Endogenous Risk Attitudes
نویسندگان
چکیده
منابع مشابه
Endogenous Risk Measures
We present a methodology that allows endogenous derivation of the moments of the probability distributions. In doing so, we, present an alternative objective function and alternative concept of risk aversion. In addition, we show that the risk measure depends on the preferences. Moreover, we show that a higher level of risk aversion yields higher values of the risk measure.
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Kőszegi and Rabin (forthcoming) develop a model building from prospect theory that a) combines the reference-dependent “gain-loss utility” with standard “consumption utility,” b) bases the reference point on beliefs about outcomes rather than on the status quo, and, to incorporate probabilistic beliefs, c) allows for stochastic reference points. In this paper we develop an extension of that mod...
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Daniel Kahneman and Amos Tversky’s (1979) prospect theory, and the literature building from it, provide theories of risk attitudes based on a few regularities. Most importantly, evaluation of an outcome is influenced by how it compares to a reference point, with people exhibiting both a significantly greater aversion to losses than appreciation of gains, and a diminishing sensitivity to changes...
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ژورنال
عنوان ژورنال: Social Science Research Network
سال: 2022
ISSN: ['1556-5068']
DOI: https://doi.org/10.2139/ssrn.4024773