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The University of Southampton
CORMSIS Centre for Operational Research, Management Sciences and Information Systems

CRR-CORMSIS Seminar - Measuring Multivariate Risk Preferences Event

Time:
13:00 - 14:00
Date:
11 May 2016
Venue:
Room 1089 Building 2, Southampton Business School

For more information regarding this event, please email Dr Ian Dawson at I.G.Dawson@Soton.ac.uk .

Event details

In a forthcoming Centre for Risk Research, Dr Sebastian Ebert from Tilburg University will present his latest research on measuring risk preferences. He recently described his research as follows: We measure risk preferences for decisions that involve more than a single, monetary attribute. According to theory, correlation aversion, cross-prudence and cross-temperance determine how risk preferences over two single attributes co-vary and interact. We obtain model-free measurements of these cross-risk attitudes in three economic domains, viz., time preferences, social preferences, and preferences over waiting time. This first systematic empirical exploration of multivariate risk preferences provides evidence for assumptions made in economic models on inequality, labor, time preferences, saving, and insurance. We observe non-neutrality of cross-risk attitudes in all domains which questions the descriptive accuracy of economic models that assume that utility is additively separable in its arguments.

Speaker information

Dr Sebastian Ebert,Tilburg University,Sebastian Ebert studies how individuals make financial and other risky decisions, as well as how these decisions can be improved. His research employs both theoretical and experimental analysis. His work has been published in journals such as The American Economic Review, Management Science, or The Journal of Risk and Uncertainty. Before joining Tilburg University in 2013 as an Assistant Professor of Finance, he obtained degrees in mathematics, statistics, and economics.

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