Sebastian Ebert (Tilburg) - Measuring Multivariate Risk Preferences

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 de- scriptive accuracy of economic models that assume that utility is additively separable in its arguments.

See: https://sites.google.com/site/ebertecon/home