A0526
Title: Large-scale smart evaluation of risk attitude: A structural econometric framework
Authors: Nathalie Picard - University of Strasbourg (France) [presenting]
Andre de Palma - CY Cergy-Paris Université (France)
Stefano Nasini - IESEG School of Management (France)
Abstract: A statistical methodology is built to put together decision-making under risk and uncertainty (non-expected utility, behavioral economics and discrete choice theory), structural econometrics (hierarchical modelling, limited dependent variables and latent variables, Bayesian posterior) and optimization methods for large-scale estimation (Alternating Direction methods, and Specialized Markov Chain Monte Carlo methods). The main scope is to estimate and disentangle the different dimensions of investors risk attitude (risk aversion, loss aversion and probability weighting). To numerically assess and empirically validate the correctness and efficiency of our methodology, we use investors data and data collected via the online multilingual questionnairehttps://riskdynametrics.com since 2004.
