Paper #1443

Títol:

Discrete choice estimation of risk aversion

Autors:

Jose Apesteguia i Miguel A. Ballester

Data:

Setembre 2014

Resum:

We analyze the use of discrete choice models for the estimation of risk aversion and show a fundamental flaw in the standard random utility model which is commonly used in the literature. Specifically, we find that given two gambles, the probability of selecting the riskier gamble may be larger for larger levels of risk aversion. We characterize when this occurs. By contrast, we show that the alternative random preference approach is free of such problems.

Paraules clau:

Discrete Choice; Structural Estimation; Risk Aversion; Random Utility Models; Random Preference Models.

Codis JEL:

C25; D81.

Àrea de Recerca:

Economia Experimental i del Comportament / Microeconomia

Publicat a:

Mathematics and Archaeology, (eds) Barcelo, J.A.and Bogdanovic, I., Chapman & Hall/CRC, Boca Raton, USA, 491–499

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