Wilcox, Nathaniel (2007): Stochastically more risk averse: A contextual theory of stochastic discrete choice under risk.

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Abstract
Microeconometric treatments of discrete choice under risk are typically homoscedastic latent variable models. Specifically, choice probabilities are given by preference functional differences (given by expected utility, rankdependent utility, etc.) embedded in cumulative distribution functions. This approach has a problem: Estimated utility function parameters meant to represent agents’ degree of risk aversion in the sense of Pratt (1964) do not imply a suggested “stochastically more risk averse” relation within such models. A new heteroscedastic model called “contextual utility” remedies this, and estimates in one data set suggest it explains (and especially predicts) as well or better than other stochastic models.
Item Type:  MPRA Paper 

Original Title:  Stochastically more risk averse: A contextual theory of stochastic discrete choice under risk 
Language:  English 
Keywords:  risk; more risk averse; discrete choice; stochastic choice; heteroscedasticity 
Subjects:  D  Microeconomics > D8  Information, Knowledge, and Uncertainty > D81  Criteria for DecisionMaking under Risk and Uncertainty C  Mathematical and Quantitative Methods > C2  Single Equation Models; Single Variables > C25  Discrete Regression and Qualitative Choice Models; Discrete Regressors; Proportions C  Mathematical and Quantitative Methods > C9  Design of Experiments > C91  Laboratory, Individual Behavior 
Item ID:  11851 
Depositing User:  Nathaniel Wilcox 
Date Deposited:  02. Dec 2008 06:33 
Last Modified:  14. Feb 2013 12:31 
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URI:  http://mpra.ub.unimuenchen.de/id/eprint/11851 