Measuring risk aversion

Foundations and Trends in Microeconomics

Volumn 2, Issue 2, 2006, Pages 107-203

  Meyer, Donald J ^a   Meyer, Jack ^b  

^a WESTERN MICHIGAN UNIVERSITY   (United States)

^b MICHIGAN STATE UNIVERSITY   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 85007574250     PISSN: 15479846     EISSN: 15479854     Source Type: Journal    
DOI: 10.1561/0700000006     Document Type: Article

References (87)

1. Arrow, K. (1965), Aspects of the Theory of Risk Bearing. Helsinki: Yrjo Jahnssonin Saatio.
2. Arrow, K. (1971), Essays in the Theory of Risk Bearing. New York: Markham.
3. Bajtelsmit, V. L., A. Bernasek, and N. A. Jianaloplos (1999), 'Gender differences in defined contribution pension decisions'. Financial Services Review 8, 1-10.
4. Baron, D. P. (1970), 'Price uncertainty, utility, and industry equilibrium in pure competition'. International Economic Review 11(3), 463-480.
5. Barsky, R. B., F. T. Juster, M. S. Kimball, and M. D. Shapiro (1997), 'Preference parameters and behavioral heterogeneity: An experimental approach in the health and retirement study'. Quarterly Journal of Economics 112(2), 537-579.
6. Beetsma, R. M. W. J. and P. C. Schotmany (2001), 'Measuring risk attitudes in a natural experiment: Data from the television game show lingo'. The Economic Journal 111(474), 821-848.
7. Bellante, D. and C. A. Green (2004), 'Relative risk aversion among the elderly'. Review of Financial Economics 13(3), 269-281.
8. Bellante, D. and R. P. Saba (1986), 'Human capital and life-cycle effects on risk aversion'. The Journal of Financial Research 9(1), 41-52.
9. Blake, D. (1996), 'Efficiency, risk aversion and portfolio insurance: An analysis of financial asset portfolios held by investors in the United Kingdom'. The Economic Journal 106(438), 1175-1192.
10. Bontems, P. and A. Thomas (2000), 'Information value and risk premium in agricultural production: The case of split nitrogen application for corn'. American Journal of Agricultural Economics 82(1), 59-70.
11. Briys, E., G. Dionne, and L. Eeckhoudt (1989), 'More on insurance as a giffen good'. Journal of Risk and Uncertainty 2(4), 415-420.
12. Briys, E. and L. Eeckhoudt (1985), 'Relative risk aversion in comparative statics: Comment'. American Economic Review 75(1), 281-283.
13. Carlsson, F., D. Daruvala, and O. Johansson-Stenman (2005), 'Are people inequality-averse or just risk-averse?'. Economica 72(287), 375-396.
14. Cass, D. and J. E. Stiglitz (1972), 'Risk aversion and wealth effects on portfolios with many assets'. The Review of Economic Studies 39(3), 331-354.
15. Chavas, J.-P. and M. T. Holt (1996), 'Economic behavior under uncertainty: A joint analysis of risk preferences and technology'. Review of Economics and Statistics 78(2), 329-335.
16. Cohn, R. A., W. G. Lewellen, R. C. Lease, and G. G. Schlarbaum (1975), 'Individual investor risk aversion and investment portfolio composition'. Journal of Finance 30(2), 605-620.
17. Constantinides, G. M. (1990), 'Habit formation: A resolution of the equity premium puzzle'. Journal of Political Economy 98(3), 519-543.
18. Dalal, A. J. and B. G. Arshanapalli (1993), 'Estimating the demand for risky assets via the indirect expected utility function'. Journal of Risk and Uncertainty 6(3), 277-288.
19. Demers, F. and M. Demers (1991), 'Increases in risk and othe optimal deductible'. Journal of Risk and Insurance 58(4), 670-699.
20. Diamond, P. A. and J. E. Stiglitz (1974), 'Increases in risk and in risk aversion'. Journal of Economic Theory 8(3), 337-360.
21. Eeckhoudt, L. and C. Gollier (1995), Risk: Evaluation, Management and Sharing. New York: Harvester Wheatsheaf, first edition. First published in french in 1992, translated by Val Lambson into english in 1995.
22. Eeckhoudt, L., C. Gollier, and H. Schlesinger (1996), 'Changes in background risk and risk taking behavior'. Econometrica 64(3), 683-689.
23. Eeckhoudt, L., C. Gollier, and H. Schlesinger (2005), Economic and Financial Decisions Under Risk. Princeton, New Jersey: Princeton University Press.
24. Eeckhoudt, L. and M. Kimball (1992), 'Background risk, prudence, and the demand for insurance'. In: G. Dionne (ed.): paper appeared in Contributions to Insurance Economics, Boston, pp. 239-254, Kluwer Academic Publishers.
25. Eeckhoudt, L., J. Meyer, and M. B. Ormiston (1997), 'The interaction between the demand for insurance and insurable assets'. Journal of Risk and Uncertainty 14(1), 25-39.
26. Eeckhoudt, L. R. and J. K. Hammitt (2001), 'Background risks and the value of a statistical life'. Journal of Risk and Uncertainty 23(3), 261-279.
27. Eichner, T. and A. Wagener (2004), 'Relative risk aversion, relative prudence and comparative statics under uncertainty: The case of (mu, sigma)-preferences'. Bulletin of Economic Research 56(2), 159-170.
28. Eichner, T. and A. Wagener (2005), 'Measures of risk attiitude: Correspondences between mean-variance and expected utility approaches'. Decisions in Economics and Finance 28(1), 53-65.
29. Fishburn, P. C. and R. B. Porter (1976), 'Optimal portfolios with one safe and one risky asset: Effects of changes in rate of return and risk'. Management Science 22(10), 1064-1073.
30. Forelle, C. (2006), 'Why game shows have economists glued to their TVs'. Article in Wall Street Journal; January 12, 2006; page A1. staff reporter for Wall Street Journal.
31. Friedman, M. and L. J. Savage (1948), 'The utility analysis of choices involving risk'. Journal of Political Economy 56(4), 279-304.
32. Friedman, M. and L. J. Savage (1952), 'The expected utility hypothesis and the measurability of utility'. Journal of Political Economy 60(6), 463-474.
33. Friend, I. and M. E. Blume (1975), 'The demand for risky assets'. American Economic Review 65(5), 900-922.
34. Fullenkamp, C., R. Tonorio, and R. Battalio (2003), 'Assessing individual risk attitudes using field data from lottery games'. Review of Economics and Statistics 85(1), 218-226.
35. Gollier, C. (2001), The Economics of Risk and Time. Cambridge, MA: The MIT Press.
36. Gollier, C. (2002), 'Time diversification, liquidity constraints, and decreasing aversion to risk on wealth'. Journal of Monetary Economics 49, 1439-1459.
37. Gollier, C. and J. W. Pratt (1996), 'Risk vulnerability and the tempering effect of background risk'. Econometrica 64, 1109-1123.
38. Hadar, J. and T. K. Seo (1990), 'The effects of shifts in a return distribution on optimal portfolios'. International Economic Review 31(3), 721-736.
39. Hadar, J. and T. K. Seo (1993), 'Sensible risk aversion'. Department of Economics, Southern Methodist University.
40. Halek, M. and J. G. Eisenhauer (2001), 'Demography of risk aversion'. Journal of Risk and Insurance 68(1), 1-24.
41. Hersch, P. L. and G. S. McDougall (1997), 'Decison making under uncertainty when the stakes are high: Evidence from a lottery game show'. Southern Economic Journal 64(1), 75-84.
42. Hey, J. D. (1985), 'Relative risk aversion in comparative statics: Comment'. American Economic Review 75(1), 284-285.
43. Hirshleifer, J. and J. G. Riley (1992), The Analytics of Uncertainty and Information, Surveys of Economic Literature. New York: Cambridge, first edition.
44. Holt, C. and S. Laury (2002), 'Risk aversion and incentive effects'. American Economic Review 92(5), 1644-1655.
45. Ichiishi, T. (1997), Microeconomic Theory. Cambridge, Mass.: Blackwell Publishers, first edition.
46. Jianakoplos, N. A. and A. Bernasek (1998), 'Are women more risk averse?'. Economic Inquiry 36(4), 620-630.
47. Kaplow, L. (2005), 'The value of statistical life and the coefficient of relative risk aversion'. Journal of Risk and Uncertainty 31(1), 23-34.
48. Katz, E. (1983), 'Relative risk aversion in comparative statics'. American Economic Review 73(3), 452-453.
49. Kihlstrom, R. E., D. Romer, and S. Williams (1981), 'Risk aversion with random initial wealth'. Econometrica 49(4), 911-920.
50. Kimball, M. S. (1993), 'Standard risk aversion'. Econometrica 61, 589-611.
51. Kimball, M. S. and N. G. Mankiw (1989), 'Precautionary saving and the timing of taxes'. Journal of Political Economy 97(4), 863-879.
52. Kumbhakar, S. C. (2002), 'Specification and estimation of production risk, risk preferences and technical efficiency'. American Journal of Agricultural Economics 84(1), 8-22.
53. Leland, H. E. (1968), 'Saving and uncertainty: The precautionary demand for saving'. Quarterly Journal of Economics 82(3), 465-473.
54. Lence, S. H. (2000), 'Using consumption and asset return data to estimate farmers' time preferences and risk attitudes'. American Journal of Agricultural Economics 82(4), 934-947.
55. Levy, H. (1994), 'Absolute and relative risk aversion: An experimental study'. Journal of Risk and Uncertainty 8(3), 289-307.
56. Löffler, A. (2001), 'A μ-σ-risk aversion paradox and wealth dependent utility'. Journal of Risk and Uncertainty 23(1), 57-73.
57. Menezes, C. F. and D. L. Hanson (1970), 'On the theory of risk aversion'. International Economic Review 11(3), 481-487.
58. Metrick, A. (1995), 'A natural experiment in "jeopardy"'. American Economic Review 85(1), 240-253.
59. Meyer, D. J. and J. Meyer (1998), 'Changes in background risk and the demand for insurance'. The Geneva Papers on Risk and Insurance Theory 23(1), 29-40.
60. Meyer, D. J. and J. Meyer (1999), 'The comparative statics of deductible insurance and insurable assets'. Journal of Risk and Insurance 66(1), 1-15.
61. Meyer, D. J. and J. Meyer (2005a), 'Risk preferences in multi-period consumption models, the equity premium puzzle, and habit formation utility'. Journal of Monetary Economics 52(8), 1497-1515.
62. Meyer, D. J. and J. Meyer (2005b), 'Relative risk aversion: What do we know?'. Journal of Risk and Uncertainty 31(3), 243-262.
63. Meyer, J. (1987), 'Two-moment decision models and expected utility maximization'. American Economic Review 77(3), 421-430.
64. Meyer, J. and M. B. Ormiston (1994), 'The effect of optimal portfolios of changing the return to a risky asset: The case of dependent risky returns'. International Economic Review 35(3), 603-612.
65. Mitchell, D. W. (1994), 'Relative risk aversion with arrow-debreu securities'. International Economic Review 35(1), 257-258.
66. Morin, R.-A. and A. F. Suarez (1983), 'Risk aversion revisited'. The Journal of Finance 38(4), 1201-1216.
67. Mossin, J. (1968), 'Aspects of rational insurance purchasing'. Journal of Political Economy 76(4, Part 1), 553-568.
68. Nachman, D. C. (1982), 'Preservation of "More Risk Averse" under expectations'. Journal of Economic Theory 28(2), 361-368.
69. Ogaki, M. and Q. Zhang (2001), 'Decreasing relative risk aversion and tests of risk sharing'. Econometrica 69(2), 515-526.
70. Pratt, J. W. (1964), 'Risk aversion in the small and in the large'. Econometrica 32(1-2), 83-98.
71. Riley, W. B. and K. V. Chow (1992), 'Asset allocation and individual risk aversion'. Financial Analysts Journal 48(6), 32-37.
72. Roche, M. (2005), 'The equity premium puzzle and decreasing relative risk aversion'. The National University of Ireland, Maynooth. Forthcoming in Applied Financial Economics Letters.
73. Rothchild, M. and J. E. Stiglitz (1971), 'Inceasing risk II: Its economic consequences'. Journal of Economic Theory 3(1), 66-84.
74. Rubinstein, A. (2006), Lecture Notes in Microeconomic Theory. Princeton, NJ: Princeton University Press.
75. Saha, A. (1997), 'Risk preference estitmation in the nonlinear mean standard deviation approach'. Economic Inquiry 35(4), 770-782.
76. Saha, A., C. R. Shumway, and H. Talpaz (1994), 'Joint estimation of risk preference structure and technology using expo-power utility'. American Journal of Agricultural Economics 76(2), 173-184.
77. Sandmo, A. (1968), 'Portfolio choice in a theory of saving'. Swedish Journal of Economics 70(2), 106-122.
78. Sandmo, A. (1970), 'The effect of uncertainty on saving decisions'. The Review of Economic Studies 37(3), 353-360.
79. Sandmo, A. (1971), 'On the theory of the competitive firm under price uncertainty'. American Economic Review 61(1), 65-73.
80. Schlesinger, H. (1981), 'The optimal level of deductibility in insurance contracts'. Journal of Risk and Insurance 48(3), 465-481.
81. Schooley, D. K. and D. D. Worden (1996), 'Risk aversion measures: Comparing attitudes and asset allocation'. Financial Services Review 5(2), 87-99.
82. Sunden, A. E. and B. J. Surette (1998), 'Gender differences in the allocation of assets in retirement savings plans'. American Economic Review 88(2), 207-211.
83. Viscusi, W. K. and J. E. Aldy (2003), 'The value of statistical life: A critical review of market estimates throughout the World'. Journal of Risk and Uncertainty 27(1), 5-76.
84. Von Neumann, J. and O. Morgenstern (1944), Theory of Games and Economic Behavior. Princeton, New Jersey: Princeton University Press.
85. Wang, H. and S. Hanna (1997), 'Does risk tolerance decrease with age'. Financial Counseling and Planning 8(2), 27-31.
86. Wilson, R. (1968), 'The theory of syndicates'. Econometrica 36(1), 119-132.
87. Zeckhauser, R. and E. Keeler (1970), 'Another type of risk aversion'. Econometrica 38(5), 661-665.