Joint measurement of risk aversion, prudence, and temperance

• Published in: Journal of risk and uncertainty Vol. 48; no. 3; pp. 231 - 252
• Main Authors: Ebert, Sebastian, Wiesen, Daniel
• Format: Journal Article
• Language: English
• Published: Boston Springer Science+Business Media 01.06.2014; Springer US; Springer Nature B.V
• Subjects: Decision making; Economic models; Economic statistics; Economic theory; Economic Theory/Quantitative Economics/Mathematical Methods; Economics; Economics and Finance; Environmental Economics; Expected utility; Experimentation; Experiments; Factorial design; Financial risk; Investment risk; Kurtosis; Lotteries; Microeconomics; Operations Research/Decision Theory; Preferences; Price lists; Prospect theory; Risk aversion; Risk aversion preference; Risk management; Risk preferences; Risk theory; Skewness; Studies; Utility functions; Prudence; Risk aversion; Temperance; Prospect theory; Decision making under risk; Experiment; C91; D81; Risk-loving

Risk aversion—but also the higher-order risk preferences of prudence and temperance—are fundamental concepts in the study of economic decision making. We propose a method to jointly measure the intensity of risk aversion, prudence, and temperance. Our theoretical approach is to define risk compensat...