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

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Author Info

  • Michèle Cohen

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

  • Jean-Marc Tallon

    ()
    (CES - Centre d'économie de la Sorbonne - CNRS : UMR8174 - Université Paris I - Panthéon-Sorbonne, EEP-PSE - Ecole d'Économie de Paris - Paris School of Economics - Ecole d'Économie de Paris)

  • Jean-Christophe Vergnaud

    (CES - Centre d'économie de la Sorbonne - CNRS : UMR8174 - Université Paris I - Panthéon-Sorbonne, CERSES - Centre de recherche sens, ethique, société - CNRS : UMR8137 - Université Paris V - Paris Descartes)

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 cautious 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.

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Bibliographic Info

Paper provided by HAL in its series Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) with number halshs-00502820.

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Date of creation: 2011
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Publication status: Published, Theory and Decision, 2011, 71, 1, 81-110
Handle: RePEc:hal:cesptp:halshs-00502820

Note: View the original document on HAL open archive server: http://halshs.archives-ouvertes.fr/halshs-00502820
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Keywords: Experiments; Risk aversion; Impatience; Imprecision Aversion;

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References

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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," EIEF Working Papers Series 1107, Einaudi Institute for Economics and Finance (EIEF), revised Oct 2011.
  2. 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 July 22, 1939 - February 26, 2009," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00664715, HAL.
  3. Oechssler, Jörg & Roomets, Alex, 2014. "A Test of Mechanical Ambiguity," Working Papers 0555, University of Heidelberg, Department of Economics.
  4. Elizabeth Potamites & Bei Zhang, 2012. "Heterogeneous ambiguity attitudes: a field experiment among small-scale stock investors in China," Review of Economic Design, Springer, Springer, vol. 16(2), pages 193-213, September.
  5. repec:hal:journl:halshs-00429573 is not listed on IDEAS
  6. 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".
  7. Luc Arrondel & André Masson, 2013. "Measuring savers' preferences how and why?," PSE Working Papers halshs-00834203, HAL.
  8. Alpaslan Akay & Peter Martinsson & Haileselassie Medhin & Stefan Trautmann, 2012. "Attitudes toward uncertainty among the poor: an experiment in rural Ethiopia," Theory and Decision, Springer, Springer, vol. 73(3), pages 453-464, September.
  9. repec:hal:journl:halshs-00664715 is not listed on IDEAS
  10. 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, Springer, vol. 71(1), pages 1-10, July.
  11. repec:hal:wpaper:halshs-00834203 is not listed on IDEAS
  12. Ralf Bergheim & Michael W.M. Roos, 2013. "Intuition and Reasoning in Choosing Ambiguous and Risky Lotteries," Ruhr Economic Papers, Rheinisch-Westfälisches Institut für Wirtschaftsforschung, Ruhr-Universität Bochum, Universität Dortmund, Universität Duisburg-Essen 0440, Rheinisch-Westfälisches Institut für Wirtschaftsforschung, Ruhr-Universität Bochum, Universität Dortmund, Universität Duisburg-Essen.

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