Risk Aversion in the Large and in the Small

Jorgen Haug, Thorsten Hens and Peter Wohrmann
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Jorgen Haug: Norwegian School of Economics
Thorsten Hens: University of Zurich and Swiss Finance Institute
Peter Wohrmann: University of Zurich and Stanford University

No 11-24, Swiss Finance Institute Research Paper Series from Swiss Finance Institute

Abstract: Estimates of agents' risk aversion di er between market studies and experimental studies. We demonstrate that the estimates can be reconciled through consistent treatment of agents' tendency for narrow framing, regarding integration of background wealth as well as across risky outcomes: Risk aversion is similar whenever similar degrees of narrow framing is assumed in either setting.

Keywords: Risk aversion; narrow framing; background wealth; laboratory experiments; market studies; equity premium puzzle. (search for similar items in EconPapers)
JEL-codes: D81 G11 G12 (search for similar items in EconPapers)
Pages: 21 pages
Date: 2011-06
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Persistent link: https://EconPapers.repec.org/RePEc:chf:rpseri:rp1124

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