期刊
ECONOMICS LETTERS
卷 91, 期 2, 页码 250-259出版社
ELSEVIER SCIENCE SA
DOI: 10.1016/j.econlet.2005.09.017
关键词
risk aversion; expected utility
类别
This paper contributes to an important recent debate around expected utility and risk aversion. Rejecting a gamble over a given range of wealth levels imposes a lower bound on risk aversion. Using this lower bound and empirical evidence on the range of the risk aversion coefficient, we calibrate the relationship between risk attitudes over small-stakes and large-stakes gambles. We find that rejecting small gambles is consistent with expected utility, contrary to a recent literature that concludes that expected utility is fundamentally unfit to explain decisions under uncertainty. Paradoxical behavior is only obtained when calibrations are made in a region of the parameter space that is not empirically relevant. (c) 2005 Elsevier B.V. All rights reserved.
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