A note on proper scoring rules and risk aversion

Alexander Peysakhovich and Mikkel Plagborg-Moller

Economics Letters, 2012, vol. 117, issue 1, 357-361

Abstract: When risk averse forecasters are presented with risk neutral proper scoring rules, they report probabilities whose ratios are shaded towards 1. If elicited probabilities are used as inputs to decision-making, naive elicitors may violate first-order stochastic dominance.

Keywords: Scoring rules; Risk aversion; Decision-making (search for similar items in EconPapers)
JEL-codes: C60 D81 (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:117:y:2012:i:1:p:357-361

DOI: 10.1016/j.econlet.2012.05.030

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