A note on proper scoring rules and risk aversion

Citation:

Peysakhovich, Alexander, and Mikkel Plagborg-Møller. 2012. “A note on proper scoring rules and risk aversion.” Economics Letters 117 (1): 357-361.

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.

Publisher's Version

Last updated on 07/02/2017