The attitude toward probabilities of portfolio managers : an experimental study
AbstractThis 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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Bibliographic InfoPaper 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 v08073.
Length: 33 pages
Date of creation: Sep 2008
Date of revision:
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Attitude toward probabilities; probability weighting function; expected utility; rank dependent expected utility; experimental economics; decision under risk.;
Find related papers by JEL classification:
- C91 - Mathematical and Quantitative Methods - - Design of Experiments - - - Laboratory, Individual Behavior
This paper has been announced in the following NEP Reports:
- NEP-ALL-2009-01-31 (All new papers)
- NEP-CBE-2009-01-31 (Cognitive & Behavioural Economics)
- NEP-EXP-2009-01-31 (Experimental Economics)
- NEP-UPT-2009-01-31 (Utility Models & Prospect Theory)
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- Michèle Cohen & Jean-Marc Tallon & Jean-Christophe Vergnaud, 2011.
"An experimental investigation of imprecision attitude and its relation with risk attitude and impatience,"
Theory and Decision,
Springer, vol. 71(1), pages 81-109, July.
- Michèle Cohen & Jean-Marc Tallon & Jean-Christophe Vergnaud, 2009. "An experimental investigation of imprecision attitude and its relation with risk attitude and impatience," Documents de travail du Centre d'Economie de la Sorbonne 09029, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
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