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

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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.

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Paper provided by Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne in its series Documents de travail du Centre d'Economie de la Sorbonne with number 09029.

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Length: 26 pages
Date of creation: Mar 2009
Date of revision:
Handle: RePEc:mse:cesdoc:09029

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Keywords: Experiments; risk aversion; impatience; imprecision aversion.;

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Citations

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Cited by:
  1. 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.
  2. Alpaslan Akay & Peter Martinsson & Haileselassie Medhin & Stefan Trautmann, 2012. "Attitudes toward uncertainty among the poor: an experiment in rural Ethiopia," Theory and Decision, Springer, vol. 73(3), pages 453-464, September.
  3. 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.
  4. 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.
  5. 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.
  6. 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.
  7. Luc Arrondel & André Masson, 2013. "Measuring savers' preferences how and why?," PSE Working Papers halshs-00834203, HAL.
  8. Oechssler, Jörg & Roomets, Alex, 2014. "A Test of Mechanical Ambiguity," Working Papers 0555, University of Heidelberg, Department of Economics.

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