Revealed Preferences and Risk Aversion in Financial Markets - New Empirical Evidence from a Maximum Likelihood Approach
| Project Start: | 01/2013 |
| Status: | Completed |
| Researchers: | Andreas Hackethal, Sven-Thorsten Jakusch |
| Category: | Household Finance |
| Funded by: | LOEWE |
The authors use maximum likelihood estimation to elicit the form of the utility function as well as its parameters from the trading records of individual investors. The results are merged with administrative data on demographics and answers to an investor questionnaire. Main findings: the majority of investors follow trading patters in accordance with Prospect Theory and observable sociodemographic characteristics such as gender or age do not correlate with specific preference types.
Related Working Papers
| No. | Author/s | Title | Year | Program Area | Keywords |
|---|---|---|---|---|---|
| 148 | Petr Jakubik, Sven-Thorsten Jakusch | On the Applicability of Maximum Likelihood Methods: From Experimental to Financial Data | 2016 | Household Finance | Utility Functions, Model Selection, Parameter Elicitation |
| 146 | Andreas Hackethal, Sven-Thorsten Jakusch, Steffen Meyer | Taming Models of Prospect Theory in the Wild? Estimation of Vlcek and Hens (2011) | 2016 | Household Finance | Prospect Theory, Parameter Elicitation, Investors Heterogeneity |
| 147 | Andreas Hackethal, Sven-Thorsten Jakusch, Steffen Meyer | Taring All Investors with the Same Brush? Evidence for Heterogeneity in Individual Preferences from a Maximum Likelihood Approach | 2016 | Household Finance | Utility Theory, Maximum Likelihood, Individual Investors |
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