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Recursive expected utility and the separation of attitudes towards risk and ambiguity: an experimental study

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  • Sujoy Chakravarty

    ()

  • Jaideep Roy

    ()

Abstract

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File URL: http://hdl.handle.net/10.1007/s11238-008-9112-4
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Bibliographic Info

Article provided by Springer in its journal Theory and Decision.

Volume (Year): 66 (2009)
Issue (Month): 3 (March)
Pages: 199-228

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Handle: RePEc:kap:theord:v:66:y:2009:i:3:p:199-228

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Web page: http://www.springerlink.com/link.asp?id=100341

Related research

Keywords: Recursive expected utility; Risk; Ambiguity; C9; C44; C91;

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References

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  1. Budescu, David V. & Kuhn, Kristine M. & Kramer, Karen M. & Johnson, Timothy R., 2002. "Modeling certainty equivalents for imprecise gambles," Organizational Behavior and Human Decision Processes, Elsevier, vol. 88(2), pages 748-768, July.
  2. Yoram Halevy, 2007. "Ellsberg Revisited: An Experimental Study," Econometrica, Econometric Society, vol. 75(2), pages 503-536, 03.
  3. W. Viscusi & Harrell Chesson, 1999. "Hopes and Fears: the Conflicting Effects of Risk Ambiguity," Theory and Decision, Springer, vol. 47(2), pages 157-184, October.
  4. Cohen, Michele & Jaffray, Jean-Yves & Said, Tanios, 1987. "Experimental comparison of individual behavior under risk and under uncertainty for gains and for losses," Organizational Behavior and Human Decision Processes, Elsevier, vol. 39(1), pages 1-22, February.
  5. Amos Tversky & Daniel Kahneman, 1979. "Prospect Theory: An Analysis of Decision under Risk," Levine's Working Paper Archive 7656, David K. Levine.
  6. Eisenberger, Roselies & Weber, Martin, 1995. "Willingness-to-Pay and Willingness-to-Accept for Risky and Ambiguous Lotteries," Journal of Risk and Uncertainty, Springer, vol. 10(3), pages 223-33, May.
  7. Sujoy Mukerji & Peter Klibanoff, 2002. "A Smooth Model of Decision,Making Under Ambiguity," Economics Series Working Papers 113, University of Oxford, Department of Economics.
  8. Steffen Andersen & Glenn Harrison & Morten Lau & E. Rutström, 2006. "Elicitation using multiple price list formats," Experimental Economics, Springer, vol. 9(4), pages 383-405, December.
  9. Kagel, John H & Harstad, Ronald M & Levin, Dan, 1987. "Information Impact and Allocation Rules in Auctions with Affiliated Private Values: A Laboratory Study," Econometrica, Econometric Society, vol. 55(6), pages 1275-1304, November.
  10. Ning Du & David V. Budescu, 2005. "The Effects of Imprecise Probabilities and Outcomes in Evaluating Investment Options," Management Science, INFORMS, vol. 51(12), pages 1791-1803, December.
  11. DavidJ. Cooper & Hanming Fang, 2008. "Understanding Overbidding In Second Price Auctions: An Experimental Study," Economic Journal, Royal Economic Society, vol. 118(532), pages 1572-1595, October.
  12. Curley, Shawn P. & Yates, J. Frank, 1985. "The center and range of the probability interval as factors affecting ambiguity preferences," Organizational Behavior and Human Decision Processes, Elsevier, vol. 36(2), pages 273-287, October.
  13. Susan K. Laury & Charles A. Holt, 2005. "Further Reflections on Prospect Theory," Experimental Economics Center Working Paper Series 2006-23, Experimental Economics Center, Andrew Young School of Policy Studies, Georgia State University.
  14. Tversky, Amos & Kahneman, Daniel, 1992. " Advances in Prospect Theory: Cumulative Representation of Uncertainty," Journal of Risk and Uncertainty, Springer, vol. 5(4), pages 297-323, October.
  15. Einhorn, Hillel J & Hogarth, Robin M, 1986. "Decision Making under Ambiguity," The Journal of Business, University of Chicago Press, vol. 59(4), pages S225-50, October.
  16. Carmela Di Mauro & Anna Maffioletti, 2004. "Attitudes to risk and attitudes to uncertainty: experimental evidence," Applied Economics, Taylor & Francis Journals, vol. 36(4), pages 357-372.
  17. Charles A. Holt & Susan K. Laury, 2002. "Risk Aversion and Incentive Effects," American Economic Review, American Economic Association, vol. 92(5), pages 1644-1655, December.
  18. Glenn W. Harrison & Eric Johnson & Melayne M. McInnes & E. Elisabet Rutstr�m, 2005. "Risk Aversion and Incentive Effects: Comment," American Economic Review, American Economic Association, vol. 95(3), pages 897-901, June.
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Citations

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Cited by:
  1. Jeffrey V. Butler & Luigi Guiso & Tullio Jappelli, 2011. "The Role of Intuition and Reasoning in Driving Aversion to Risk and Ambiguity," CSEF Working Papers 282, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy, revised 15 Jan 2013.
  2. Marielle Brunette & Laure Cabantous & Stéphane Couture & Anne Stenger, 2008. "Insurance Demand for Disaster-type Risks and the Separation of Attitudes toward Risk and Ambiguity: an Experimental Study," Working Papers - Cahiers du LEF 2008-05, Laboratoire d'Economie Forestiere, AgroParisTech-INRA.
  3. Sacha Bourgeois-Gironde & Anne Corcos François Pannequin, 2012. "Aversions to trust," Post-Print ijn_00734564, HAL.
  4. Attanasi, Giuseppe & Gollier, Christian & Montesano, Aldo & Pace, Noémie, 2012. "Eliciting ambiguity aversion in unknown and in compound lotteries: A KMM experimental approach," LERNA Working Papers 12.21.378, LERNA, University of Toulouse.
  5. Michèle Cohen & Jean-Marc Tallon & Jean-Christophe Vergnaud, 2011. "An experimental investigation of imprecision attitude and its relation with risk attitude and impatience," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00502820, HAL.
  6. Théodora Dupont-Courtade, 2012. "Insurance demand under ambiguity and conflict for extreme risks : Evidence from a large representative survey," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00718642, HAL.
  7. Théodora Dupont-Courtade, 2012. "Insurance demand under ambiguity and conflict for extreme risks : Evidence from a large representative survey," Post-Print halshs-00718642, HAL.
  8. Duersch, Peter & Römer, Daniel & Roth, Benjamin, 2013. "Intertemporal stability of ambiguity preferences," Working Papers 0548, University of Heidelberg, Department of Economics.
  9. Sacha Bourgeois-Gironde & Anne Corcos & François Pannequin, 2012. "Is trust an ambiguous rather than a risky decision," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) ijn_00734563, HAL.
  10. Anne Corcos & François Pannequin & Sacha Bourgeois-gironde, 2012. "Is trust an ambiguous rather than a risky decision?," Economics Bulletin, AccessEcon, vol. 32(3), pages 2255-2266.
  11. Yehuda Izhakian, 2012. "Ambiguity Measurement," Working Papers 12-01, New York University, Leonard N. Stern School of Business, Department of Economics.
  12. Théodora Dupont-Courtade, 2012. "Insurance demand under ambiguity and conflict for extreme risks: Evidence from a large representative survey," Documents de travail du Centre d'Economie de la Sorbonne 12020, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
  13. Joseph Cook & Susmita Chatterjee & Dipika Sur & Dale Whittington, 2013. "Measuring risk aversion among the urban poor in Kolkata, India," Applied Economics Letters, Taylor & Francis Journals, vol. 20(1), pages 1-9, January.
  14. Ross, Nicholas & Santos, Paulo & Capon, Timothy, 2012. "Risk, ambiguity and the adoption of new technologies: experimental evidence from a developing economy," 2012 Conference, August 18-24, 2012, Foz do Iguacu, Brazil 126492, International Association of Agricultural Economists.
  15. Sacha Bourgeois-Gironde & Anne Corcos & François Pannequin, 2012. "Is trust an ambiguous rather than a risky decision," Post-Print ijn_00734563, HAL.
  16. Marielle Brunette, 2012. "Do risk communication methods perform to generate rationality?," Working Papers - Cahiers du LEF 2012-01, Laboratoire d'Economie Forestiere, AgroParisTech-INRA.

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