Estimating Risk Preferences in the Field

65 Pages Posted: 24 Aug 2016 Last revised: 28 Jun 2018

Levon Barseghyan

Cornell University

Francesca Molinari

Cornell University - Department of Economics

Ted O'Donoghue

Cornell University - Department of Economics

Joshua C. Teitelbaum

Georgetown University Law Center

Date Written: 2018

Abstract

We survey the literature on estimating risk preferences using field data. We concentrate our attention on studies in which risk preferences are the focal object and estimating their structure is the core enterprise. We review a number of models of risk preferences — including both expected utility (EU) theory and non-EU models — that have been estimated using field data, and we highlight issues related to identification and estimation of such models using field data. We then survey the literature, giving separate treatment to research that uses individual-level data (e.g., property insurance data) and research that uses aggregate data (e.g., betting market data). We conclude by discussing directions for future research.

Keywords: estimation, field data, risk preferences

JEL Classification: B41,C81,D81

Suggested Citation

Barseghyan, Levon and Molinari, Francesca and O'Donoghue, Ted and Teitelbaum, Joshua C., Estimating Risk Preferences in the Field (2018). Journal of Economic Literature, Vol. 56, Pp. 501-564, 2018. Available at SSRN: https://ssrn.com/abstract=2828132

Levon Barseghyan

Cornell University ( email )

Ithaca, NY 14853
United States

Francesca Molinari

Cornell University - Department of Economics ( email )

414 Uris Hall
Ithaca, NY 14853-7601
United States
607-255-6367 (Phone)
607-255-2818 (Fax)

HOME PAGE: http://www.arts.cornell.edu/econ/fmolinari/

Ted O'Donoghue

Cornell University - Department of Economics ( email )

414 Uris Hall
Ithaca, NY 14853-7601
United States
607-255-6287 (Phone)
607-255-2818 (Fax)

Joshua C. Teitelbaum (Contact Author)

Georgetown University Law Center ( email )

600 New Jersey Avenue NW
Washington, DC 20001
United States
202-661-6589 (Phone)

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