Karel: Economic research concerning risk aversion

[Karel]

I am in the process of performing a scientific economic research concerning real-world risk aversion of individual people, for example investors on stock market or players of blackjack. I would like to make a pool amongst experienced blackjack players concerning their risk aversion. Any personal data will be strictly confidential. Anonymous response is welcome. I would very much appreciate answers e-mailed to [email protected]. (Posting here is also fine although it would not be anonymous.)

Concerning the risk aversion, please read the post ?Optimal bet sizing? under the ?Calculating ROR given Kelly fraction $p$? on the Theory & Math page. I am interested in the questions of

1) Used Kelly fraction given a defined bankroll for the player.
2) What proportion of player?s entire investment wealth is the starting bankroll. The entire investment wealth includes also illiquid assets, it is not just available cash-on-hand, however, one should subtract some necessary living expenses. In case the player has another job, nothing needs to be subtracted, and in fact some discounted portion of the current and future job income, excess of living expenses, should be added. I understand that the definition is perhaps somewhat vague, but an approximate estimate is fully sufficient. I?ll be happy to explain any details.
3) Due to practical constraints a pro player may be limited with the unit size, even though a higher unit size would be desired. In this case, please let me know if the desired unit size should be for example twice as large, since this is the relevant reference point for measuring risk aversion.

Note that all the numbers may be in relative terms, i.e., I do not need to know the actual absolute values.

I would like to thank in advance to all participants in this study. The results will be used solely for academic research purposes, measuring and estimating the proper risk aversion coefficient.

Sincerely,

Karel Janecek

[Double21]

Karel;

Very interesting topic and I wish you success in taking it on. One question: will you make the results available at no cost to those who participate in the study?

[Karel]

The results will, in fact, be available to anybody at no cost :-)

I am doing this pool in order to support some assumptions in my economics paper. This is a theoretical paper about risk aversion and related topics -- the so called equity premium puzzle (concerning the historical excess return of stocks, which is usually considered to have been historically too high despite the last two years!) or the puzzle of low participation rate in the stock market, etc. I will post a link to the paper, as soon as it is updated.

I would really appreciate if participants in this forum could submit the information so that the the data pool was large enough and could be considered statistically significant. It is okay if anybody e-mails the info from any anonymous e-mail address, absolutely no personal information is needed for this study. (But please submit only once :-).)

Thanks,

Karel

[Karel]

This is a university research, and as such it is completely non-profit project. This pool is a small portion of the whole project and paper, nevertheless, it could be very useful. In the case of success I would try to publish the relevant paper in an academic journal.

Best regards,

Karel