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Non‐parametric estimation of decision makers' risk aversion
Author(s) -
Lien Gudbrand
Publication year - 2002
Publication title -
agricultural economics
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.29
H-Index - 82
eISSN - 1574-0862
pISSN - 0169-5150
DOI - 10.1111/j.1574-0862.2002.tb00106.x
Subject(s) - economics , estimation , risk aversion (psychology) , variance (accounting) , econometrics , parametric statistics , value (mathematics) , decision maker , norwegian , mathematics , expected utility hypothesis , statistics , mathematical economics , management science , linguistics , philosophy , accounting , management
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.