Search results for "risk aversion"
showing 4 items of 34 documents
Inherent information in the prices of options
2018
Esta tesis tiene como objetivo analizar el contenido informacional de los precios observados de las opciones. En este caso particular, teniendo diferentes opciones sobre el mismo subyacente y con la misma fecha de vencimiento, podemos obtener información sobre la función de densidad neutral al riesgo (RND). Éstas son las densidades con las que los agentes valoran los activos derivados, y en definitiva cómo ponen precio a unidades de consumo en diferentes estados de la naturaleza futuros. Esta información implícita en el precio de las opciones es considerada información forward-looking (con miras al futuro). Esta tesis consta de tres capítulos enfocados a analizar diferentes aspectos de los …
Dealing with risk: Gender, stakes, and probability effects
2015
This paper investigates how subjects deal with financial risk, both "upside" (with a small chance of a high payoff) and "downside" (with a small chance of a low payoff). We find that the same people who avoid risk in the downside setting tend to make more risky choices in the upside one. The experiment is designed to disentangle the probability-weighting and utility-curvature components of risk attitudes, and to differentiate settings in which gender differences arise from those in which they do not. Women are more risk averse for downside risks, but gender differences are diminished for upside risks.
Loss Aversion and Risk Aversion in Non-Clinical Negative Symptoms and Hypomania
2020
In the field of behavioral decision-making, “loss aversion” is a behavioral phenomenon in which individuals show a higher sensitivity to potential losses than to gains. Conversely, “risk averse” individuals have an enhanced sensitivity/aversion to options with uncertain consequences. Here we examine whether hypomania or negative symptoms predict the degree of these choice biases. We chose to study these two symptom dimensions because they present a common theme across many syndromes with compromised decision-making. In our exploratory study, we employed a non-clinical sample to dissociate the hypomanic from negative symptom dimension regarding choice behavior. We randomly selected a sample …
Domain-Specific Risk and Public Policy
2018
We develop a method to estimate domain-specific risk. We apply the method to sickness insurance by fitting a utility function at the individual level, using European survey data on life satisfaction. Three results stand out. First, relative risk aversion increases with income. Second, marginal utility is higher in the sick state conditional on income, due to an observed fixed cost of sickness. Third, the domain-specificity of risk shifts the focus on the smoothing of utility, not consumption. The optimal policy rule implies that the replacement rates should be non-linear and decrease with income. nonPeerReviewed