Estimating Risk Attitudes using Lotteries: A Large Sample Approach

• Abdellaoui, M. (1998). “Parameter-Free Eliciting of Utilities and Probability Weighting Functions,” forthcoming in Management Science.

• Allais, M. (1953). “Le comportement de l'Homme Rationnel devant le Risque, Critique des Postulates et Axiomes de l'Ecole Americaine,” Econometrica 21, 503–546.

  Google Scholar 

• Arrow, K. (1965). Aspects of the Theory of Risk-bearing. Helsinki: Yrjö Jahnssonin Säätiö.

  Google Scholar 

• Beattie, J., and G. Loomes. (1997). “The Impact of Incentives upon Risky Choice Experiments',” Journal of Risk and Uncertainty 14, 155–168.

  Google Scholar 

• Beetsma, R. M. W. J., and P. C. Schotman. (1997). “Measuring Risk Attitudes in a Natural Experiment: an Empirical Analysis of the Television Game Show LINGO., CentER discussion paper no 9808, Tilburg University, Tilburg.

  Google Scholar 

• Bell, D. (1982) “Regret in Decision Making under Uncertainty,” Operations Research 30, 961–981.

  Google Scholar 

• Bell, D. (1985). “Putting a Premium on Regret”, Management Science 31, 117–120.

  Google Scholar 

• Bone, J., J. D. Hey, and J. Suckling. (1999). “Are Groups More (or less) Consistent Than Individuals?,” Journal of Risk and Uncertainty 18, 63–81.

  Google Scholar 

• Camerer, C. F. (1989). “An Experimental Test of Several Generalized Utility Theories,” Journal of Risk and Uncertainty 2, 61–104.

  Google Scholar 

• Camerer, C. F. (1995). “Individual Decision Making.” In J. H. Kagel and A. E. Roth (eds.), Handbook of Experimental Economics. Princeton, NJ: Princeton University.

  Google Scholar 

• Camerer, C. F. and R. M. Hogarth. (1999). “The Effects of Financial Incentives in Experiments: A Review and Capital-Labor-Production Framework,” Journal of Risk and Uncertainty 19, 7–42.

  Google Scholar 

• Carbone, E., and J. D. Hey. (1994). “Discriminating Between Preference Functionals.A Preliminary Monte Carlo Study,” Journal of Risk and Uncertainty 8, 23–242.

  Google Scholar 

• Carbone, E., and J. D. Hey. (2000). “Which Error Story is Best?,” Journal of Risk and Uncertainty 20, 161–176.

  Google Scholar 

• Cavanagh, C., and R. P. Sherman. (1998). “Rank Estimators for Monotonic Index Models,” Journal of Econometrics 84, 351–381.

  Google Scholar 

• Conlisk, J. (1989). “Three Variants on the Allais Example,” American Economic Review 79, 392–407.

  Google Scholar 

• Delecroix, M., W. Härdle, and M. Hristache. (1997). “Efficient Estimation in Single Index Regression,” mimeo, Humboldt Universität, Berlin.

  Google Scholar 

• Delquie, P. (1997). “ 'Bi-Matching'—A New Preference Assessment Method to Reduce Compatibility Effects,” Management Science 43, 640–658.

  Google Scholar 

• Fennema, H., and M. van Assen. (1999). “Measuring the Utility of Losses by Means of the Tradeoff Method,” Journal of Risk and Uncertainty 17, 277–295.

  Google Scholar 

• Gonzalez, R., and G. Wu. (1999). “On the Shape of the Probability Weighting Function,” Cognitive Psychology 38, 129–166.

  Google Scholar 

• Grether, D. M., and C. R. Plott. (1979). “Economic Theory of Choice and the Preference Reversal Phenomenon,. American Economic Review 85, 260–266.

  Google Scholar 

• Guiso, L., T. Japelli, and D. Terlizzese. (1992). “Earnings Uncertainty and Precautionary Saving,” Journal of Monetary Economics 30, 307–337.

  Google Scholar 

• Gul, F. (1991). “A Theory of Disappointment Aversion,” Econometrica 59, 667–686.

  Google Scholar 

• Hajivassiliou, V. A. (1993). “Simulation Estimation Methods for Limited Dependent Variables Models.” In G. S. Maddala, C. R. Rao, and H. D. Vinod (eds.), Handbook of statistics, Vol 11. Amsterdam: North-Holland.

  Google Scholar 

• Hall, P. (1990). “On the Bias of Variable Bandwidth Curve Estimators,” Biometrika 77, 529–535.

  Google Scholar 

• Hall, P. and J. S. Marron. (1988). “Variable Window Width Kernel Estimates of Probability Density Estimates,” Probability Theory and Related Fields 80, 37–49.

  Google Scholar 

• Han, A. K. (1987). “Non-parametric Analysis of Generalized Regression Model,” Journal of Econometrics 35, 303–316.

  Google Scholar 

• Härdle, W., and O. Linton. (1994). “Applied Nonparametric Methods.” In R. Engle and D. McFadden (eds.), Handbook of Econometrics, Vol IV. Amsterdam: North-Holland.

  Google Scholar 

• Harless, D. W., and C. F. Camerer. (1994). “The Predictive Utility of Generalized Expected Utility Theoreies,” Econometrica 62, 1251–1290.

  Google Scholar 

• Hartog, J., N. Jonker, and H. Oosterbeek. (1997). “On a Simple Measure of Risk Aversion,” mimeo, University of Amsterdam, Amsterdam.

  Google Scholar 

• Hershey, J. C., and P. J. H. Schoemaker. (1985). “Probability versus Certainty Equivalence Models in Utility Measurement,” Management Science 31, 1213–1231.

  Google Scholar 

• Hey, J. D. and E. Carbone. (1995). “Stochastic Choice with Deterministic Preferences: An Experimental Investigation,. Economics Letters 47, 161–167.

  Google Scholar 

• Horowitz, J. L. (1992). “A Smoothed Maximum Score Estimator for the Binary Response Model,” Econometrica 60, 505–531.

  Google Scholar 

• Jullien, B., and Salanie. (1997). “The Attitudes Towards Risk of Racetrack Bettors,” mimeo, Universite des Sciences Sociales de Toulouse, Toulouse.

  Google Scholar 

• Kahneman, D., J. L. Knetsch, and R. H. Thaler. (1991). “Anomalies: The Endowment Effect, Loss Aversion, and Status Quo Bias,” Journal of Economic Perspectives 5, 193–206.

  Google Scholar 

• Kahneman, D., P. Slovic, and A. Tversky (1982). Judgment Under Uncertainty: Heuristics and Biases. New York: Cambridge University Press.

  Google Scholar 

• Kahneman, D., and A. Tversky. (1979). “Prospect Theory: An Analysis of Decision Under Risk,” Econometrica 47, 263–291.

  Google Scholar 

• Klein, R. W., and R. H. Spady. (1993). “An Efficient Semiparametric Estimator for Binary Response Models,” Econometrica 61, 387–421.

  Google Scholar 

• Lattimore, P. M. J., J. R. Baker, and A. D. Witte. (1992). “The Influence of Probability on Risky Choice,” Journal of Economic Behavior and Organization 17, 377–400.

  Google Scholar 

• Lee, M.-J. (1996). Methods of Moments and Semiparametric Econometrics for Limited Dependent Variable Models. New York: Springer Verlag.

  Google Scholar 

• Loomes, G., and R. Sugden. (1982). “Regret Theory: An Alternative Theory of Rational Choice Under Uncertainty,. Economic Journal 92, 805–824.

  Google Scholar 

• Lusardi, A. (1997). “Precautionary Saving and Subjective Earnings Variance,” Economics Letters 57, 319–326.

  Google Scholar 

• Machina, M. J. (1982). “Expected Utility Without the Independence Axiom,” Econometrica 50, 277–323.

  Google Scholar 

• Machina, M. J. (1987), “Choice Under Uncertainty: Problems Solved and Unsolved,” Journal of Economic Perspectives 1, 121–154.

  Google Scholar 

• Nyhus, E. K. (1996). “The VSB-CentER Savings Project: Data Collection Methods, Questionnaries and Sampling Orocedures,” mimeo, CentER, Tilburg.

  Google Scholar 

• Pålsson, A.-M. (1996). “Does the Degree of Relative Risk Aversion Vary with Household Characteristics?,” Journal of Economic Psychology 17, 771–787.

  Google Scholar 

• Pratt, J. (1964). “Risk Aversion in the Small and in the Large,” Econometrica 32, 122–136.

  Google Scholar 

• Prelec, D. (1998). “The Probability Weighting Function,” Econometrica 66, 497–528.

  Google Scholar 

• Quiggin, J. (1982). “A Theory of Anticipated Utility. Journal of Economic Behaviour and Organization 3, 323–343.

  Google Scholar 

• Seidl, C., and S. Traub. (1997). “Assessment Biases in Utility Functions,” mimeo, Christian-Albrechts-Universität, Kiel.

  Google Scholar 

• Tversky, A., and C. R. Fox. (1995). “Weighing Risk and Uncertainty,” Psychological Review 2, 269–283.

  Google Scholar 

• Tversky, A., and D. Kahneman. (1992). “Advances in Prospect Theory: Cumulative Representation of Uncertainty,. Journal of Risk and Uncertainty 5, 297–323.

  Google Scholar 

• Viscusi, K. W. (1989). “Prospective Reference Theory: Toward an Explanation of the Paradoxes,” Journal of Risk and Uncertainty 2, 235–264.

  Google Scholar 

• Wakker, P. P. (1994). “Separating Marginal Utility and Probabilistic Risk Aversion,” Theory and Decision 36, 1–44.

  Google Scholar 

• Wakker, P. P., and D. Deneffe. (1996). “Eliciting von Neuman-Morgenstern Utilities When Probabilities are Distorted or Unknown,” Management Science 8, 1131–1150.

  Google Scholar 

• Warneryd, K. E. (1996). “Risk Attitudes and Risky Behavior,” Journal of Economic Psychology 17, 749–770.

  Google Scholar 

Download references