Comparative risk sensitivity with reference-dependent preferences

被引:20
作者
Neilson, WS [1 ]
机构
[1] Texas A&M Univ, Dept Econ, College Stn, TX 77843 USA
关键词
risk aversion; loss aversion; reference dependence; prospect theory; expected utility;
D O I
10.1023/A:1014015926103
中图分类号
F8 [财政、金融];
学科分类号
0202 ;
摘要
Experimental evidence suggests that individuals are risk averse over gains and risk seeking over losses (i.e., they have S-shaped utility functions in an expected utility setting) and that they are loss averse. Furthermore, the evidence leads to a single definition of S-shaped utility, but it has led to several alternative specifications of loss aversion. This paper characterizes the relations "more S-shaped than" and "more loss averse than" for a utility function, and in so doing arrives at a new definition of loss aversion based on average instead of marginal utility.
引用
收藏
页码:131 / 142
页数:12
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