Risk arrirude adjusted loss aversion index

[g charles-cadogan]

Dear All:

I am seeking references for loss aversion index adjusted for risk attitudes. The papers by Kobberling and Wakker (2005), Abdellaoui, et al (2007) and Schmidt and Zank (2008) all proposed [local] loss aversion index estimators. A recent paper by Ghossoub (2012) also introduced loss aversion estimators based on probabilistic considerations. However, those papers did not identify separate risk attitude effects of a type that one should be able to identify for say mixed prospects.  One can apply extant loss aversion index estimators when the frame is known but its not clear (to me) how one accounts for risk attitude adjusted loss aversion index estimators for mixed prospects.

Your consideration of this matter is very appreciated.

References

Abdellaoui, M., H. Bleichrodt, and C. Paraschiv (2007, Oct.). Loss Aversion Under Prospect Theory: A Parameter-Free Measurement. Management Science 53 (10), 1659–1674.

Ghossoub, B. (2012, March). Towards A Purely Behavioral Definition Of Loss Aversion. Working Paper. Available at

http://ssrn.com/abstract=2028146

K¨obberling, V. and P. Wakker (2005). An index of loss aversion. Journal of Economic Theory 112, 119–131.

Schmidt, U. and H. Zank (2008, Jan). Risk Aversion in Cumulative Prospect Theory. Management Science 54 (1), 208–216.

[g charles-cadogan]

Errata: Subject should be "Risk attitude adjusted loss aversion index"