Non-parametric estimation of decision makers' risk aversion

Non-parametric estimation of decision makers' risk aversion

A new non-parametric method to estimate a decision maker's coefficient of absolute risk aversion from observed economic behaviour is explained. The method uses the expected value-variance (E-V) framework and quadratic programming. An empirical illustration is given using Norwegian farm-level data. © 2002 Elsevier Science B.V. All rights reserved. JEL classification: Q12; D81

Towards Reliable Mapping of Biosecurity Risk: Incorporating Uncertainty and Decision Makers’ Risk Aversion

Pest risk maps are an important source of decision support when devising strategies to minimize introductions of invasive organisms and mitigate their impacts. When possible management responses to an invader include costly or socially sensitive activities, decision makers tend to follow a more certain (i.e. risk-averse) course of action. We present a new mapping technique that assesses pest in...

Robustness of Non-Parametric Measurement of Efficiency and Risk Aversion

The Role of Risk Aversion in Non-Conscious Decision Making

To what extent can people choose advantageously without knowing why they are making those choices? This hotly debated question has capitalized on the Iowa Gambling Task (IGT), in which people often learn to choose advantageously without appearing to know why. However, because the IGT is unconstrained in many respects, this finding remains debated and other interpretations are possible (e.g., ri...

Risk bounds for the non-parametric estimation of Lévy processes

Estimation methods for the Lévy density of a Lévy process are developed under mild qualitative assumptions. A classical model selection approach made up of two steps is studied. The first step consists in the selection of a good estimator, from an approximating (finite-dimensional) linear model S for the true Lévy density. The second is a data-driven selection of a linear model S, among a given...