Estimating Risk Preferences in the Field
65 Pages Posted: 24 Aug 2016 Last revised: 28 Jun 2018
Date Written: 2018
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: Suggested Citation