A note on proper scoring rules and risk aversion

Alexander Peysakhovich; Mikkel Plagborg-Møller

doi:10.1016/j.econlet.2012.05.030

A note on proper scoring rules and risk aversion

Alexander Peysakhovich, Mikkel Plagborg-Møller

Research output: Contribution to journal › Article › peer-review

1 Scopus citations

Abstract

When risk averse forecasters are presented with risk neutral proper scoring rules, they report probabilities whose ratios are shaded towards 1. If elicited probabilities are used as inputs to decision-making, naive elicitors may violate first-order stochastic dominance.

Original language	English (US)
Pages (from-to)	357-361
Number of pages	5
Journal	Economics Letters
Volume	117
Issue number	1
DOIs	https://doi.org/10.1016/j.econlet.2012.05.030
State	Published - Oct 2012
Externally published	Yes

All Science Journal Classification (ASJC) codes

Finance
Economics and Econometrics

Keywords

Decision-making
Risk aversion
Scoring rules

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10.1016/j.econlet.2012.05.030

Cite this

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title = "A note on proper scoring rules and risk aversion",

abstract = "When risk averse forecasters are presented with risk neutral proper scoring rules, they report probabilities whose ratios are shaded towards 1. If elicited probabilities are used as inputs to decision-making, naive elicitors may violate first-order stochastic dominance.",

keywords = "Decision-making, Risk aversion, Scoring rules",

author = "Alexander Peysakhovich and Mikkel Plagborg-M{\o}ller",

year = "2012",

month = oct,

doi = "10.1016/j.econlet.2012.05.030",

language = "English (US)",

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journal = "Economics Letters",

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AB - When risk averse forecasters are presented with risk neutral proper scoring rules, they report probabilities whose ratios are shaded towards 1. If elicited probabilities are used as inputs to decision-making, naive elicitors may violate first-order stochastic dominance.

KW - Decision-making

KW - Risk aversion

KW - Scoring rules

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VL - 117

SP - 357

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JO - Economics Letters

JF - Economics Letters

IS - 1

ER -

A note on proper scoring rules and risk aversion

Abstract

All Science Journal Classification (ASJC) codes

Keywords

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