A note on proper scoring rules and risk aversion

Alexander Peysakhovich; Mikkel Plagborg-Moller

doi:10.1016/j.econlet.2012.05.030

A note on proper scoring rules and risk aversion

Alexander Peysakhovich, Mikkel Plagborg-Moller

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 1 2012
Externally published	Yes

All Science Journal Classification (ASJC) codes

Economics and Econometrics
Finance

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10.1016/j.econlet.2012.05.030

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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.",

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