Travail de recherche/Working paper
| Résumé : | We propose a revealed preference method to non-parametrically bound the coefficients of relative (and absolute) risk aversion in an expected utility framework.Our approach abstains from placing functional form restrictions on the Bernoulliutility function. Our method is applicable to any finite number of observations onchoices over Arrow-Debreu contingent claims, and can be efficiently implementedusing linear or quadratic programming techniques. We illustrate our results usinga large-scaled experimental data set |
