Paper #1443

Título:

Discrete choice estimation of risk aversion

Autores:

Jose Apesteguia y Miguel A. Ballester

Data:

Septiembre 2014

Resumen:

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.

Palabras clave:

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

Códigos JEL:

C25; D81.

Área de investigación:

Economía Experimental y del Comportamiento / Microeconomía

Publicado en:

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

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