Comparative Risk Sensitivity with Reference-Dependent Preferences
Experimental evidence suggests that individuals are risk averse over gains and risk seeking over losses (i.e., they have S-shaped utility functions in an expected utility setting) and that they are loss averse. Furthermore, the evidence leads to a single definition of S-shaped utility, but it has led to several alternative specifications of loss aversion. This paper characterizes the relations "more S-shaped than" and "more loss averse than" for a utility function, and in so doing arrives at a new definition of loss aversion based on average instead of marginal utility. Copyright 2002 by Kluwer Academic Publishers
When requesting a correction, please mention this item's handle: RePEc:kap:jrisku:v:24:y:2002:i:2:p:131-42. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Guenther Eichhorn)or (Christopher F. Baum)
If references are entirely missing, you can add them using this form.