Glenn William Harrison

Recovering subjective probability distributions: a Bayesian approach

Abstract An individual reports subjective beliefs over continuous events using a proper scoring rule, such as the Quadratic Scoring Rule. Under mild additional assumptions, it is known that these reports reflect latent subjective beliefs if the individual is risk neutral. We demo...

When Should Demographics Enter the Prior? Conditional Exchangeability in Bayesian Estimation of Risk Preferences

Hierarchical Bayesian models for the estimation of individual risk preferences typically assume that subjects are unconditionally exchangeable: prior to seeing any data, every subject is treated as a draw from a common population distribution. We examine the consequences of relax...