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Testing for risk aversion: a stochastic dominance approach

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  • Levy, Moshe
  • Levy, Haim

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  • Levy, Moshe & Levy, Haim, 2001. "Testing for risk aversion: a stochastic dominance approach," Economics Letters, Elsevier, vol. 71(2), pages 233-240, May.
  • Handle: RePEc:eee:ecolet:v:71:y:2001:i:2:p:233-240
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    References listed on IDEAS

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    1. Milton Friedman & L. J. Savage, 1948. "The Utility Analysis of Choices Involving Risk," Journal of Political Economy, University of Chicago Press, vol. 56, pages 279-279.
    2. Harry Markowitz, 1952. "Portfolio Selection," Journal of Finance, American Finance Association, vol. 7(1), pages 77-91, March.
    3. John Lintner, 1965. "Security Prices, Risk, And Maximal Gains From Diversification," Journal of Finance, American Finance Association, vol. 20(4), pages 587-615, December.
    4. Cox, James C & Smith, Vernon L & Walker, James M, 1988. "Theory and Individual Behavior of First-Price Auctions," Journal of Risk and Uncertainty, Springer, vol. 1(1), pages 61-99, March.
    5. Kahneman, Daniel & Tversky, Amos, 1979. "Prospect Theory: An Analysis of Decision under Risk," Econometrica, Econometric Society, vol. 47(2), pages 263-291, March.
    6. Hadar, Josef & Russell, William R, 1969. "Rules for Ordering Uncertain Prospects," American Economic Review, American Economic Association, vol. 59(1), pages 25-34, March.
    7. Tversky, Amos & Kahneman, Daniel, 1992. "Advances in Prospect Theory: Cumulative Representation of Uncertainty," Journal of Risk and Uncertainty, Springer, vol. 5(4), pages 297-323, October.
    8. William F. Sharpe, 1964. "Capital Asset Prices: A Theory Of Market Equilibrium Under Conditions Of Risk," Journal of Finance, American Finance Association, vol. 19(3), pages 425-442, September.
    9. G. Hanoch & H. Levy, 1969. "The Efficiency Analysis of Choices Involving Risk," Review of Economic Studies, Oxford University Press, vol. 36(3), pages 335-346.
    10. Harry Markowitz, 1952. "The Utility of Wealth," Journal of Political Economy, University of Chicago Press, vol. 60, pages 151-151.
    11. Rothschild, Michael & Stiglitz, Joseph E., 1970. "Increasing risk: I. A definition," Journal of Economic Theory, Elsevier, vol. 2(3), pages 225-243, September.
    12. Harrison, Glenn W, 1989. "Theory and Misbehavior of First-Price Auctions," American Economic Review, American Economic Association, vol. 79(4), pages 749-762, September.
    13. Viscusi, W Kip, 1989. "Prospective Reference Theory: Toward an Explanation of the Paradoxes," Journal of Risk and Uncertainty, Springer, vol. 2(3), pages 235-263, September.
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    Citations

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    Cited by:

    1. Sasaki, Shunichiro & Xie, Shiyu & Ohtake, Fumio & Qin, Jie & Tsutsui, Yoshiro, 2008. "Experiments on risk attitude: The case of Chinese students," China Economic Review, Elsevier, vol. 19(2), pages 245-259, June.
    2. Sabrina Hammiche & Laurent Denant-Boemont, 2008. "Que vaut la flexibilité des choix individuels de transport ? Une étude de cas expérimental," Économie et Prévision, Programme National Persée, vol. 182(1), pages 97-111.
    3. Montes, Ignacio & Montes, Susana, 2016. "Stochastic dominance and statistical preference for random variables coupled by an Archimedean copula or by the Fr e ´ chet–Hoeffding upper bound," Journal of Multivariate Analysis, Elsevier, vol. 143(C), pages 275-298.
    4. Diacon, Stephen, 2006. "Utility analysis, luxuries and risk," Economics Letters, Elsevier, vol. 91(3), pages 402-407, June.
    5. Robison, Lindon J. & Shupp, Robert S. & Myers, Robert J., 2010. "Expected utility paradoxes," Journal of Behavioral and Experimental Economics (formerly The Journal of Socio-Economics), Elsevier, vol. 39(2), pages 187-193, April.
    6. Post, G.T. & Levy, H., 2002. "Does Risk Seeking Drive Asset Prices? A stochastic dominance analysis of aggregate investor preferences," ERIM Report Series Research in Management ERS-2002-50-F&A, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam.
    7. Thierry Post & Haim Levy, 2002. "Does Risk Seeking drive Asset Prices?," Tinbergen Institute Discussion Papers 02-070/2, Tinbergen Institute.
    8. Moshe Levy & Haim Levy, 2002. "Prospect Theory: Much Ado About Nothing?," Management Science, INFORMS, vol. 48(10), pages 1334-1349, October.
    9. Douglas W. Blackburn & Andrey D. Ukhov, 2013. "Individual vs. Aggregate Preferences: The Case of a Small Fish in a Big Pond," Management Science, INFORMS, vol. 59(2), pages 470-484, August.
    10. Hailu, Getu & Jeffrey, Scott R. & Goddard, Ellen W., 2004. "Impact Of Decision Makers Divergence In Risk Attitudes And Perceptions On Co-Operative Management In Canada," 2004 Annual meeting, August 1-4, Denver, CO 20246, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).

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