Eliciting Risk Preferences and Elasticity of Substitution
Published Online:15 Sep 2020https://doi.org/10.1287/deca.2020.0415
References
- (2000) Parameter-free elicitation of utility and probability weighting functions. Management Sci. 46(11):1497–1512.Link, Google Scholar
- (2013) Is there one unifying concept of utility? Management Sci. 59(9):2153–2169.Link, Google Scholar
- (2019) Measuring time and risk preferences in an integrated framework. Games Econom. Behav. 115:459–469.Crossref, Google Scholar
- (2008a) Eliciting risk and time preferences. Econometrica 76(3):583–618.Crossref, Google Scholar
- (2008b) Lost in state space: Are preferences stable? Internat. Econom. Rev. 49(3):1091–1112.Crossref, Google Scholar
- (2018) Multiattribute utility theory, intertemporal utility, and correlation aversion. Internat. Econom. Rev. 59(2):537–555.Crossref, Google Scholar
- (2012) Risk preferences are not time preferences. Amer. Econom. Rev. 102(7):3357–3376.Crossref, Google Scholar
- (1989) Intertemporal substitution, risk aversion and the Euler equation for consumption. Econom. J. 99(395):59–73.Google Scholar
- (1997) Preference parameters and behavioral heterogeneity: An experimental approach in the health and retirement study. Q. J. Econom. 112(2):537–579.Crossref, Google Scholar
- (2017) On time-inconsistent stochastic control in continuous time. Finance Stochastics 21(2):331–360.Crossref, Google Scholar
- (2000) Asset pricing with distorted beliefs: Are equity returns too good to be true? Amer. Econom. Rev. 90(4):787–805.Crossref, Google Scholar
- (2013) Experimental methods: Eliciting risk preferences. J. Econom. Behav. Organ. 87(2):43–51.Crossref, Google Scholar
- (2010) At the nexus of risk and time preferences: An experimental investigation. J. Risk Uncertainty 41(1):67–79.Crossref, Google Scholar
- (1999) Eliciting individual discount rates. Experiment. Econom. 2(2):107–127.Crossref, Google Scholar
- (2009) Gender differences in preferences. J. Econom. Literature 47(2):448–474.Crossref, Google Scholar
- (2007) Can intertemporal choice experiments elicit time preferences for consumption? Experiment. Econom. 10(4):369–389.Crossref, Google Scholar
- (2010) Eliciting risk preferences: When is simple better? J. Risk Uncertainty 41(1):219–243.Crossref, Google Scholar
- (1992) Stochastic differential utility. Econometrica 60(2):353–394.Crossref, Google Scholar
- (1980) Increasing generalized correlation: A definition and some economic consequences. Canadian J. Econom. 13(1):16–34.Crossref, Google Scholar
- (1989) Substitution, risk aversion and the temporal behavior of consumption and asset returns: A theoretical framework. Econometrica 57(4):937–969.Crossref, Google Scholar
- (1991) Substitution, risk aversion and the temporal behavior of consumption and asset returns: An empirical analysis. J. Political Econom. 99(2):263–286.Crossref, Google Scholar
- (2016) Nonrecursive separation of risk and time preferences. Preprint, submitted October 4, http://dx.doi.org/10.2139/ssrn.3039095.Google Scholar
- (2002) Time discounting and time preference: A critical review. J. Econom. Literature 40(2):351–401.Crossref, Google Scholar
- (2015) Risk aversion at the country level. Rev. Federal Reserve Bank St. Louis 97(1):53–66.Google Scholar
- (1988) Intertemporal substitution in consumption. J. Political Econom. 96(2):339–357.Crossref, Google Scholar
- (2015) Cross-country heterogeneity of intertemporal substitution. J. Internat. Econom. 96(1):100–118.Crossref, Google Scholar
- (2002) Risk aversion and incentive effects. Amer. Econom. Rev. 92(5):1644–1655.Crossref, Google Scholar
- (2015) Personal finance and life insurance under separation of risk aversion and elasticity of substitution. Insurance Math. Econom. 62:28–41.Crossref, Google Scholar
- (1979) Prospect theory: An analysis of decision under risk. Econometrica 47(2):263–291.Crossref, Google Scholar
- (1996) The equity premium: It’s still a puzzle. J. Econom. Literature 34(1):42–71.Google Scholar
- (1991) Do workers prefer increasing wage profiles? J. Labor Econom. 9(1):67–84.Crossref, Google Scholar
- (2001) The power of suggestion: Inertia in 401(k) participation and savings behavior. Quart. J. Econom. 116(4):1149–1187.Crossref, Google Scholar
- (2000) Mixed-Effects Models in S and S-PLUS (Springer, New York).Crossref, Google Scholar
- (1996) Does the degree of relative risk aversion vary with household characteristics? J. Econom. Psych. 17(6):771–787.Crossref, Google Scholar
- (1975) Multivariate risk aversion, utility independence and separable utility functions. Management Sci. 22(1):12–21.Link, Google Scholar
- Statistics Denmark (2015a) Disponibel indkomst efter område, enhed, køn, alder og indkomstinterval. Accessed September 9, 2020, http://www.statistikbanken.dk/10331.Google Scholar
- Statistics Denmark (2015b) Statistikbanken. Accessed September 9, 2020, http://www.statistikbanken.dk.Google Scholar
- (1986) Relative risk aversion around the world. Econom. Lett. 20(1):19–21.Crossref, Google Scholar
- (2003a) The use of utility functions for investment channel choice in defined contribution retirement funds, I: Defence. British Actuarial J. 9(3):653–709.Crossref, Google Scholar
- (2003b) The use of utility functions for investment channel choice in defined contribution retirement funds, II: A proposed system. British Actuarial J. 9(4):903–958.Crossref, Google Scholar
- (2002) Limited asset market participation and the elasticity of intertemporal substitution. J. Political Econom. 110(4):825–853.Crossref, Google Scholar
- (1996) Eliciting von Neumann-Morgenstern utilities when probabilities are distorted or unknown. Management Sci. 42(8):1131–1150.Link, Google Scholar

