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An experimental investigation of imprecision attitude and its relation with risk attitude and impatience

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  • Michèle Cohen

    ()

  • Jean-Marc Tallon

    ()

  • Jean-Christophe Vergnaud

    ()

Abstract

We report in this paper the result of three experiments on risk, ambiguity and time attitude. The first two differed by the population considered (students vs general population) while the third one used a different protocol and concerned students and portfolio managers. We find quite a lot of heterogeneity at the individual level. Of principal interest was the elicitation of risk, time and ambiguity attitudes and the relationship among these (model free) measures. We find that on the student population, there is essentially no correlation. A non negligible fraction of the population behaves in an extremely cautions manner in the risk and ambiguity domain. When we drop this population from the sample, the correlation between our measures is also non significant. We also raise three questions linked to measurement of ambiguity attitudes that come out from our data sets.

(This abstract was borrowed from another version of this item.)

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Bibliographic Info

Article provided by Springer in its journal Theory and Decision.

Volume (Year): 71 (2011)
Issue (Month): 1 (July)
Pages: 81-109

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Handle: RePEc:kap:theord:v:71:y:2011:i:1:p:81-109

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

Related research

Keywords: Experiments; Risk aversion; Impatience; Imprecision aversion; C90; D81; C91;

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References

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Citations

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Cited by:
  1. repec:hal:journl:halshs-00664715 is not listed on IDEAS
  2. Ralf Bergheim & Michael W.M. Roos, 2013. "Intuition and Reasoning in Choosing Ambiguous and Risky Lotteries," Ruhr Economic Papers 0440, Rheinisch-Westfälisches Institut für Wirtschaftsforschung, Ruhr-Universität Bochum, Universität Dortmund, Universität Duisburg-Essen.
  3. Noemi Pace & Giuseppe Attanasi & Christian Gollier & Aldo Montesano, 2012. "Eliciting ambiguity aversion in unknown and in compound lotteries: A KMM experimental approach," Working Papers 2012_23, Department of Economics, University of Venice "Ca' Foscari".
  4. Jeffrey V. Butler & Luigi Guiso & Tullio Jappelli, 2011. "The role of intuition and reasoning in driving aversion to risk and ambiguity," EIEF Working Papers Series 1107, Einaudi Institute for Economics and Finance (EIEF), revised Oct 2011.
  5. repec:hal:wpaper:halshs-00834203 is not listed on IDEAS
  6. Michèle Cohen & Alain Chateauneuf & Eric Danan & Thibault Gajdos & Raphaël Giraud & Meglena Jeleva & Fabrice Philippe & Jean-Marc Tallon & Jean-Christophe Vergnaud, 2011. "Tribute to Jean-Yves Jaffray," Theory and Decision, Springer, vol. 71(1), pages 1-10, July.
  7. Luc Arrondel & André Masson, 2013. "Measuring savers' preferences how and why?," PSE Working Papers halshs-00834203, HAL.
  8. Elizabeth Potamites & Bei Zhang, 2012. "Heterogeneous ambiguity attitudes: a field experiment among small-scale stock investors in China," Review of Economic Design, Springer, vol. 16(2), pages 193-213, September.
  9. repec:hal:journl:halshs-00429573 is not listed on IDEAS
  10. repec:hal:cesptp:halshs-00664715 is not listed on IDEAS
  11. Oechssler, Jörg & Roomets, Alex, 2014. "A Test of Mechanical Ambiguity," Working Papers 0555, University of Heidelberg, Department of Economics.

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