Non-parametric estimation of decision makers' risk aversion

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A new non-parametric method to estimate a decision maker's coefficient of absolute risk aversion from observed economic behaviour is explained. The method uses the expected value-variance (E-V) framework and quadratic programming. An empirical illustration is given using Norwegian farm-level data. © 2002 Elsevier Science B.V. All rights reserved.

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http://hdl.handle.net/123456789/596875

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https://ageconsearch.umn.edu/record/177722/files/agec2002v027i001a009.pdf

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University of Minnesota