Bounding risk aversion

Thomas Demuynck and Per Hjertstrand

No 2026-12, Working Papers ECARES from ULB -- Universite Libre de Bruxelles

Abstract: We propose a revealed preference method to non-parametrically bound the coefficients of relative (and absolute) risk aversion in an expected utility framework.Our approach abstains from placing functional form restrictions on the Bernoulliutility function. Our method is applicable to any finite number of observations onchoices over Arrow-Debreu contingent claims, and can be efficiently implementedusing linear or quadratic programming techniques. We illustrate our results usinga large-scaled experimental data set

Keywords: Expected Utility; revealed preference; risk aversion (search for similar items in EconPapers)
JEL-codes: C14 D11 D81 (search for similar items in EconPapers)
Pages: 36 p.
Date: 2026-04-01
New Economics Papers: this item is included in nep-dcm, nep-exp and nep-mac
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