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The Attitude Toward Probabilities of Portfolio Managers : an Experimental Study

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Author Info
Nicolas Roux () (CES - Centre d'économie de la Sorbonne - CNRS : UMR8174 - Université Panthéon-Sorbonne - Paris I)

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Abstract

This paper proposes an experiment about the attitude toward probabilities on a population of portfolio managers. Its aim is to check whether or not portfolio managers are neutral toward probabilities. Meanwhile, it presents a experimental protocole that highlights an inconsistency between two experimental techniques. It also introduces a new functional form for the probability weighting function. Results unambiguously show that portfolio managers are not neutral toward probabilities and that they display a strong heterogeneity in their preferences.

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Publisher Info
Paper provided by HAL in its series Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) with number halshs-00344785_v1.

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Date of creation: Nov 2008
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Handle: RePEc:hal:cesptp:halshs-00344785_v1

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Related research
Keywords: Attitude toward probabilities; probability weighting function; expected utility; rank dependent expected utility; experimental economics; decision under risk.;

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This page was last updated on 2009-12-4.

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