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596,101
Risk Aversion and Incentive Effects
 American Economic Review
, 2002
"... A menu of paired lottery choices is structured so that the crossover point to the highrisk lottery can be used to infer the degree of risk aversion. With "normal " laboratory payoffs of several dollars, most subjects are risk averse and few are risk loving. Scaling up all payoffs by facto ..."
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Cited by 488 (7 self)
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by factors of twenty, fifty, and ninety makes little difference when the high payoffs are hypothetical. In contrast, subjects become sharply more risk averse when the high payoffs are actually paid in cash. A hybrid “power/expo ” utility function with increasing relative and decreasing absolute risk aversion
Advances in Prospect Theory: Cumulative Representation of Uncertainty
 JOURNAL OF RISK AND UNCERTAINTY, 5:297323 (1992)
, 1992
"... We develop a new version of prospect theory that employs cumulative rather than separable decision weights and extends the theory in several respects. This version, called cumulative prospect theory, applies to uncertain as well as to risky prospects with any number of outcomes, and it allows differ ..."
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Cited by 1717 (17 self)
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different weighting functions for gains and for losses. Two principles, diminishing sensitivity and loss aversion, are invoked to explain the characteristic curvature of the value function and the weighting functions. A review of the experimental evidence and the results of a new experiment confirm a
Choices, values and frames.
 American Psychologist,
, 1984
"... Making decisions is like speaking prosepeople do it all the time, knowingly or unknowingly. It is hardly surprising, then, that the topic of decision making is shared by many disciplines, from mathematics and statistics, through economics and political science, to sociology and psychology. The stu ..."
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Cited by 684 (9 self)
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outcomes and specified probabilities, in the hope that these simple problems will reveal basic attitudes toward risk and value. We shall sketch an approach to risky choice that derives many of its hypotheses from a psychophysical analysis of responses to money and to probability. The psychophysical
Online Learning with Kernels
, 2003
"... Kernel based algorithms such as support vector machines have achieved considerable success in various problems in the batch setting where all of the training data is available in advance. Support vector machines combine the socalled kernel trick with the large margin idea. There has been little u ..."
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Cited by 2831 (123 self)
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derive worst case loss bounds and moreover we show the convergence of the hypothesis to the minimiser of the regularised risk functional. We present some experimental results that support the theory as well as illustrating the power of the new algorithms for online novelty detection. In addition
Recovering Risk Aversion from Option Prices and Realized Returns. Manuscript
, 1998
"... A relationship exists between aggregate riskneutral and subjective probability distributions and risk aversion functions. Using a variation of the method developed by Jackwerth and Rubinstein (1996), we estimate riskneutral probabilities reliably from option prices. Subjective probabilities are es ..."
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Cited by 202 (9 self)
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are estimated from realized returns. This paper then introduces a technique to empirically derive risk aversion functions implied by option prices and realized returns simultaneously. These risk aversion functions dramatically change shapes around the 1987 crash: Precrash, they are positive and decreasing
The Determinants of Credit Spread Changes.
 Journal of Finance
, 2001
"... ABSTRACT Using dealer's quotes and transactions prices on straight industrial bonds, we investigate the determinants of credit spread changes. Variables that should in theory determine credit spread changes have rather limited explanatory power. Further, the residuals from this regression are ..."
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Cited by 422 (2 self)
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, contingentclaims pricing is most readily accomplished by pricing derivatives under the socalled riskneutral measure, where all traded securities have an expected return equal to the riskfree rate (see Cox and Ross (1976) and Harrison and Kreps (1979)). In particular, the value of the debt claim
Aversion
"... Abstract: Taking note of the wide variety and growing list of models in the literature to explain patterns of behavior observed in laboratory experiments, this paper identifies two tests, the Variety Test (ability of a model to explain outcomes under variety or alternative scenarios) and the Psychol ..."
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) and the Psychological Test (ability of a model to conform to psychological intuition), that can be used to judge any model of other regarding preferences. It is argued that for a mathematical model to qualify as a social welfare function, it must simultaneously pass the two tests. It is shown that none of the models
Risk aversion
, 2013
"... Abstract A principal provides budgets to agents (e.g., divisions of a firm or the principal’s children) whose expenditures provide her benefits, either materially or because of altruism. Only agents know their potential to generate benefits. We prove that if the more “productive ” agents are also mo ..."
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more risktolerant (as holds in the sample of individuals we surveyed), the principal can screen agents and bolster target efficiency by offering a choice between a nonrandom budget and a twooutcome risky budget. When, at very low allocations, the ratio of the more riskaverse type’s marginal utility
Spectral measures of risk: A coherent representation of subjective risk aversion
"... We study a space of coherent risk measures M / obtained as certain expansions of coherent elementary basis measures. In this space, the concept of ‘‘risk aversion function’ ’ / naturally arises as the spectral representation of each risk measure in a space of functions of confidence level probabili ..."
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Cited by 161 (1 self)
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We study a space of coherent risk measures M / obtained as certain expansions of coherent elementary basis measures. In this space, the concept of ‘‘risk aversion function’ ’ / naturally arises as the spectral representation of each risk measure in a space of functions of confidence level
Aversion
"... Abstract: This paper examines the impact of gender on risk aversion in portfolio selection. Using an account data for over than 2166 customers of a Tunisian Brokerage firm, our empirical results show significant relationship between risk aversion and each of exogenous variables including gender, fin ..."
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Abstract: This paper examines the impact of gender on risk aversion in portfolio selection. Using an account data for over than 2166 customers of a Tunisian Brokerage firm, our empirical results show significant relationship between risk aversion and each of exogenous variables including gender
Results 1  10
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596,101