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Risk Preferences Are Not Time Preferences: Separating Risk and Time Preference: Comment
American Economic Review, 2015Andreoni and Sprenger (2012a,b) observe that utility functions are distinct for risk and time preferences, and show that their findings are consistent with a preference for certainty. We revisit this question in an enriched experimental setting in which subjects make intertemporal decisions under different risk conditions.
Bin Miao, Songfa Zhong
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Scoring and Predicting Risk Preferences [PDF]
, 2012 This study presents a methodology to determine risk scores of individuals, for a given financial risk preference survey. To this end, we use a regression-based iterative algorithm to determine the weights for survey questions in the scoring process.
Ertek, Gürdal +4 more
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ESG preferences, risk and return
European Financial Management, 2020AbstractThere are two primary factors that affect expected returns for companies with high ESG (environmental, social and governance) ratings—investor preferences and risk. Although investor preferences for highly rated ESG companies can lower the cost of capital, the flip side of the coin is lower expected returns for investors.
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Essays on risk preferences, time preferences, and credit risk contagion
2023This cumulative dissertation comprises two contributions on behavioral finance and one contribution on credit risk management. The first contribution examines the impact of investors’ probability distortion on the stock market and future economic growth.
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A Theory of Risk Preference in Gambling
Journal of Political Economy, 1971This paper examines the optimal portfolio composition for a risk-preferrer who is a gambler. His indifference curves in the expected return-risk space are shown to be convex to the origin under the assumption of decreasing risk preference, and his efficient opportunity locus is in general discontinuous and convex.
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Risk Preference and Laboratory Use
Medical Decision Making, 1987One hundred thirty-seven physicians were asked to choose between a certain loss of five years of life expectancy and a 50/50 gamble of losing either ten years or zero years of life expectancy. These choices were presented as hypothetical options for a patient with cancer.
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The Risk Preferences of U.S. Executives
Management Science, 2015In this paper, I elicit risk attitudes of U.S. executives by calibrating a subjective option valuation model for option exercising data (1996 to 2008), yielding approximately 65,000 values of relative risk aversion (RRA) for almost 7,000 executives. The observed behavior is generally consistent with moderate risk aversion and a median (mean) RRA close
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Generalised mean-risk preferences
Journal of Economic Theory, 2017zbMATH Open Web Interface contents unavailable due to conflicting licenses.
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Risk Sharing with a Time Preference
Decision AnalysisClassic risk sharing results determine the optimal share of each member in a group that faces a present deal by maximizing the sum of expected utilities of the group members. For decision-makers with exponential utility functions, this formulation is equivalent to maximizing the sum of certain equivalents of the group members.
Zhengwei Sun, Ali Abbas
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