[Seminaire CREM] Présentation de Pierre PESTIEAU, Professeur émérite Université de Liège
Abstract: As income rises, the risk of disability in old age declines, while life expectancy increases. These correlations strengthen the case for public…
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
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