Non-parametric estimation of decision makers' risk aversion

A new non-parametric method to estimate a decision maker's coefficient of absolute risk aversion from observed economic behaviour is explained. The method uses the expected value-variance (E-V) framework and quadratic programming. An empirical illustration is given using Norwegian farm-level data. © 2002 Elsevier Science B.V. All rights reserved.

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Year of publication:	2002
Authors:	Lien, Gudbrand
Published in:	Agricultural Economics of Agricultural Economists. - International Association of Agricultural Economists - IAAE. - Vol. 27.2002, 1
Publisher:	International Association of Agricultural Economists - IAAE
Subject:	Risk analysis \| Risk aversion \| Quadratic programming \| Norwegian agriculture \| Production Economics \| Risk and Uncertainty

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Extent:	application/pdf
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011069227