Measuring Risk Aversion Model-Independently

Arbeitspapier

We propose a new method to elicit individuals' risk preferences. Similar to Holt and Laury (2002), we use a simple multiple price-list format. However, our method is based on a general notion of increasing risk, which allows classifying individuals as more or less risk-averse without assuming a specic utility framework. In a laboratory experiment we compare both methods. Each classies individuals almost identically as risk-averse, -neutral, or -seeking. However, classications of individuals as more or less risk-averse dier substantially. Moreover, our approach yields higher measures of risk aversion, and only with our method these measures are robust toward increasing stakes.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: Munich Discussion Paper ; No. 2010-33

Classification and Topics

• Classification: Wirtschaft ; Criteria for Decision-Making under Risk and Uncertainty ; Design of Experiments: Laboratory, Individual
• Subject: Risk Aversion ; Multiple Price-List ; Elicitation ; Laboratory Experiment ; Holt and Laury Method ; Mean Preserving Spreads ; Non-EUT ; Increasing Risk ; Risikoaversion ; Ökonomischer Anreiz ; Messung ; Test

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Maier, Johannes ; Rüger, Maximilian
• Event: Veröffentlichung
• (who): Ludwig-Maximilians-Universität München, Volkswirtschaftliche Fakultät
• (where): München
• (when): 2010

Further information

• DOI: doi:10.5282/ubm/epub.11873
• Handle: http://hdl.handle.net/10419/104323
• URN: urn:nbn:de:bvb:19-epub-11873-7
• Last update: 10.03.2025, 11:45 AM CET