کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5096621 | 1376538 | 2011 | 16 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
'Stochastically more risk averse:' A contextual theory of stochastic discrete choice under risk
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
آمار و احتمال
پیش نمایش صفحه اول مقاله
چکیده انگلیسی
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, rank-dependent 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 as or better than other stochastic models.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Econometrics - Volume 162, Issue 1, May 2011, Pages 89-104
Journal: Journal of Econometrics - Volume 162, Issue 1, May 2011, Pages 89-104
نویسندگان
Nathaniel T. Wilcox,