[Seminaire CREM] Présentation de Huiyun DING, ENS Rennes
Profiling Loss Aversion Without Reference Points: An Econometric Framework
Thursday 8 January, 12:15Passed
Abstract:
This paper develops an inverse optimization framework to estimate how individual characteristics shape financial risk-related decisions. By modeling a rational decision-maker who optimizes partial moments around a target return, we infer unobservable risk-sentiment factors, such as loss aversion, target return, and moment preferences from observed investment. Using data from 2,000 individuals, our method identifies these hidden dimensions, highlights consistent links between financial and non-financial risk taking.
co-écrit avec Stefano Nasini, Deniz Erdemlioglu, Uyanga Turmunkh and Huiyun Ding
