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August 13, 2004

Financial Risk Preception: Are Individuals Variance Averse or Loss Averse?

Duxbury, Darren, and Barbara Summers (2004). "Financial Risk Preception: Are Individuals Variance Averse or Loss Averse?" Economic Letters 84, 1: 21-28.

要約
ファイナンス理論ではリスクとは期待収益率の分散と考えるが、心理学ではリスクとは潜在的なロスの確率またはその規模を指す。本論文は、個人のリスク認識が分散回避型なのかロス回避型なのかを検証し、後者が支持されることを発見した。

キーワード:リスク認識、分散、ロス回避

Abstract
Finance theory tends to see risk as related to variance in expected returns, whereas the psychology literature tends to link risk to probability or size of potential losses. This paper investigates whether individuals' perceptions of risk are linked to variance aversion or loss aversion, and finds that a link to loss aversion is supported.

Author Keywords: Risk perception; Variance; Loss aversion

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