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Measuring Risk Aversion
Donald J. Meyer and Jack Meyer

1 Western Michigan University, Department of Economics, Kalamazoo,
MI 49008, USA, donald.meyer@wmich.edu
2 Michigan State University, Department of Economics, East Lansing,
MI 48824, USA, jmeyer@msu.edu

Abstract
The purpose of the survey is to summarize, discuss, and interpret published research concerning the risk aversion of decision makers who maximize expected utility. In doing this, two points are emphasized. First, any measure of risk aversion is specific to the particular outcome variable over which the measure is defined or estimated, and second when outcome variables are related, then their risk aversion measures are also related. These two points are used to show that a substantial portion of the reported variation in magnitudes and slopes of risk aversion measures from the research of the past forty years results from differences in the outcome variables, and when these differences are adjusted for, those findings are a quite consistent body of evidence.

1 Introduction 1
2 The Framework 7
2.1 Functions used to represent the propensity to take risks 7
2.2 Outcomes variables and their relationships 17
2.3 The choice set assumptions 30
2.4 Miscellaneous 34
3 Relative Risk Aversion for Wealth 37
3.1 Arrow-Pratt wealth 37
3.2 Other measures of wealth 44
3.3 Empirical evidence on relative risk aversion for wealth 51
4 Relative Risk Aversion for Consumption 61
5 Relative Risk Aversion for Profit 73
6 Relative Risk Aversion for Other
Outcome Variables 83
6.1 Omitted variables discussion 83
6.2 Risk aversion when components are omitted 86
ix
7 Summary and Conclusions 91
References 95