THE RECOVERY OF RISK PREFERENCES FROM ACTUAL CHOICES

摘要: SINCE ITS INTRODUCTION, the expected utility hypothesis has been widely used in construction of economic models. More recently, attention focused on conditions under which it is possible principle to recover individual investors' risk preferences from their demand for assets (Dybvig and Polemarchakis [2]). This paper represents a first attempt operationally data actual assets. Numerous difficulties are encountered attempting measure toward real world setting. Preferences revealed through choices an individual. But uncertain world, these also depend his expectations future events. Hence, immediate problem arises separating influences each such decisions. Problems can arise measuring other variables, as wealth, influence choices. Because difficulties, efforts classify individual's have confined direct assessments hypothetical environments (e.g. Kahneman Tversky [4] Keeney Raiffa [5, pp. 203-212]).2 In studies authors assumed that stated accurate indicators behavior. The question remains, however, whether individuals actually behave way predict. purpose this note make some progress answering question. experiment described infers environment. Specifically, aversion dealer U.S. Government securities assessed directly then estimated statistically bills weekly Treasury auctions. distribution returns analysis calculated forecasts made by himself. addition introducing new procedures preferences, study provides insights into reliability predicting