All Rights Reserved
AccessEcon LLC 2006, 2008.
Powered by MinhViet JSC
ralph lauren polo

 
Joseph G. Eisenhauer
 
''Approximation bias in estimating risk aversion''
( 2003, Vol. 4 No.38 )
 
 
The asymmetric approximation originally employed by Pratt (1964) to construct reduced-form measures of risk aversion s a downward bias when used for empirical estimation. Calculations based on recent survey data indicate that estimates from a symmetric approximation are generally three times larger than their asymmetric counterparts, a finding that may help to explain the equity premium puzzle.
 
 
Keywords:
JEL: D8 - Information, Knowledge, and Uncertainty: General
G0 - Financial Economics: General
 
Manuscript Received : Nov 14 2003 Manuscript Accepted : Dec 19 2003

  This abstract has been downloaded 743 times                The Full PDF of this paper has been downloaded 87715 times