A New Method of Estimating Risk Aversion PDF Download
Are you looking for read ebook online? Search for your book and save it on your Kindle device, PC, phones or tablets. Download A New Method of Estimating Risk Aversion PDF full book. Access full book title A New Method of Estimating Risk Aversion by Raj Chetty. Download full books in PDF and EPUB format.
Author: Raj Chetty Publisher: ISBN: Category : Labor supply Languages : en Pages : 28
Book Description
This paper develops a method of estimating the coefficient of relative risk aversion (g) from data on labor supply. The main result is that existing estimates of labor supply elasticities place a tight bound on g, without any assumptions beyond those of expected utility theory. It is shown that the curvature of the utility function is directly related to the ratio of the income elasticity of labor supply to the wage elasticity, holding fixed the degree of complementarity between consumption and leisure. The degree of complementarity can in turn be inferred from data on consumption choices when employment is stochastic. Using a large set of existing estimates of wage and income elasticities, I find a mean estimate of g = 1. I also give a calibration argument showing that a positive uncompensated wage elasticity, as found in most studies of labor supply, implies g
Author: Raj Chetty Publisher: ISBN: Category : Labor supply Languages : en Pages : 28
Book Description
This paper develops a method of estimating the coefficient of relative risk aversion (g) from data on labor supply. The main result is that existing estimates of labor supply elasticities place a tight bound on g, without any assumptions beyond those of expected utility theory. It is shown that the curvature of the utility function is directly related to the ratio of the income elasticity of labor supply to the wage elasticity, holding fixed the degree of complementarity between consumption and leisure. The degree of complementarity can in turn be inferred from data on consumption choices when employment is stochastic. Using a large set of existing estimates of wage and income elasticities, I find a mean estimate of g = 1. I also give a calibration argument showing that a positive uncompensated wage elasticity, as found in most studies of labor supply, implies g
Author: Donald J. Meyer Publisher: Now Publishers Inc ISBN: 193301945X Category : Business & Economics Languages : en Pages : 112
Book Description
Provides a detailed discussion of the adjustment of risk references and how to go about making such adjustments to a common scale. By adjusting all information to this common scale, results across studies can be easily summarized and compared, and the body of information concerning risk aversion can be examined as a whole
Author: Raj Chetty Publisher: ISBN: Category : Risk Languages : en Pages : 64
Book Description
Studies of risk preference have empirically established two regularities that are inconsistent with the canonical expected utility model: (1) risk aversion over small gambles greatly exceeds risk aversion over larger stakes and (2) insurance buyers play the lottery. This paper characterizes risk preferences both theoretically and empirically in a world with two consumption goods, one of which involves a commitment in that an adjustment cost must be paid when the good is sold. In this model, utility over wealth is more curved locally than globally: individuals are more risk averse with respect to moderate-scale income fluctuations than they are to large income fluctuations. Commitments also create a gambling motive. The empirical importance of commitments is tested using the labor-supply method of estimating risk aversion of Chetty (2003a). Global curvature is imputed using existing labor supply elasticities, and variations in unemployment insurance laws are used to estimate local curvature in a dynamic job search model. Commitments significantly change preferences over wealth: The local coefficient of relative risk aversion is an order of magnitude larger than the global one. Implications for a broad set of questions such as optimal social insurance policies and portfolio choice are discussed.
Author: World Health Organization Publisher: World Health Organization ISBN: 9789241546010 Category : CD-ROMs Languages : en Pages : 364
Book Description
"The Guide, in Part I, begins with a brief description of generalized CEA and how it relates to the two questions raised above. It then considers issues relating to study design, estimating costs, assessing health effects, discounting, uncertainty and sensitivity analysis, and reporting results. Detailed discussions of selected technical issues and applications are provided in a series of background papers, originally published in journals, but included in this book for easy reference in Part II." (from the back cover).
Author: Joachim Klement Publisher: CFA Institute Research Foundation ISBN: 1944960473 Category : Business & Economics Languages : en Pages : 150
Book Description
If risk aversion and willingness to take on risk are driven by emotions and we as humans are bad at correctly identifying them, the finance profession has a serious challenge at hand—how to reliably identify the individual risk profile of a retail investor or high-net-worth individual. In this series of CFA Institute Research Foundation briefs, we have asked academics and practitioners to summarize the current state of knowledge about risk profiling in different key areas.
Author: Daniel Friedman Publisher: Routledge ISBN: 1317821238 Category : Business & Economics Languages : en Pages : 171
Book Description
For several decades, the orthodox economics approach to understanding choice under risk has been to assume that each individual person maximizes some sort of personal utility function defined over purchasing power. This new volume contests that even the best wisdom from the orthodox theory has not yet been able to do better than supposedly naïve models that use rules of thumb, or that focus on the consumption possibilities and economic constraints facing the individual. The authors assert this by first revisiting the origins of orthodox theory. They then recount decades of failed attempts to obtain meaningful empirical validation or calibration of the theory. Estimated shapes and parameters of the "curves" have varied erratically from domain to domain (e.g., individual choice versus aggregate behavior), from context to context, from one elicitation mechanism to another, and even from the same individual at different time periods, sometimes just minutes apart. This book proposes the return to a simpler sort of scientific theory of risky choice, one that focuses not upon unobservable curves but rather upon the potentially observable opportunities and constraints facing decision makers. It argues that such an opportunities-based model offers superior possibilities for scientific advancement. At the very least, linear utility – in the presence of constraints - is a useful bar for the "curved" alternatives to clear.
Author: Leonard C. MacLean Publisher: World Scientific ISBN: 9814417351 Category : Business & Economics Languages : en Pages : 941
Book Description
This handbook in two parts covers key topics of the theory of financial decision making. Some of the papers discuss real applications or case studies as well. There are a number of new papers that have never been published before especially in Part II.Part I is concerned with Decision Making Under Uncertainty. This includes subsections on Arbitrage, Utility Theory, Risk Aversion and Static Portfolio Theory, and Stochastic Dominance. Part II is concerned with Dynamic Modeling that is the transition for static decision making to multiperiod decision making. The analysis starts with Risk Measures and then discusses Dynamic Portfolio Theory, Tactical Asset Allocation and Asset-Liability Management Using Utility and Goal Based Consumption-Investment Decision Models.A comprehensive set of problems both computational and review and mind expanding with many unsolved problems are in an accompanying problems book. The handbook plus the book of problems form a very strong set of materials for PhD and Masters courses both as the main or as supplementary text in finance theory, financial decision making and portfolio theory. For researchers, it is a valuable resource being an up to date treatment of topics in the classic books on these topics by Johnathan Ingersoll in 1988, and William Ziemba and Raymond Vickson in 1975 (updated 2 nd edition published in 2006).
Author: Edward Cartwright Publisher: Routledge ISBN: 131781505X Category : Business & Economics Languages : en Pages : 567
Book Description
Over the last few decades behavioral economics has revolutionized the discipline. It has done so by putting the human back into economics, by recognizing that people sometimes make mistakes, care about others, and are generally not as cold and calculating as economists have traditionally assumed. The results have been exciting and fascinating, and have fundamentally changed the way we look at economic behaviour. This textbook introduces all the key results and insights of behavioral economics to a student audience. Ideas such as mental accounting, prospect theory, present bias, inequality aversion, and learning are explained in detail. These ideas are also applied in diverse settings such as auctions, stock market crashes, charitable donations and health care, to show why behavioral economics is crucial to understanding the world around us. Consideration is also given to what makes people happy, and how we can potentially nudge people to be happier. This new edition contains expanded and updated coverage of neuroeconomics, emotions, deception, and the contrast between group and individual behaviour, among other topics, to ensure that readers are kept up-to-speed with this fast-paced field. A companion website is also now available containing a test bank of questions and worked examples allowing users to see for themselves how changing the parameters can change the outcomes. This book remains the ideal introduction to behavioral economics for advanced undergraduate and graduate students.
Author: Raj Chetty
Author: Raj Chetty
Author: Donald J. Meyer
Author: Raj Chetty
Author: Jens Carsten Jackwerth
Author: World Health Organization
Author: Joachim Klement
Author: G.W. Harrison
Author: Daniel Friedman
Author: Leonard C. MacLean
Author: Edward Cartwright