The risk elicitation puzzle revisited: Across-methods (in)consistency?

With the rise of experimental research in the social sciences, numerous methods to elicit and classify people’s risk attitudes in the laboratory have evolved. However, evidence suggests that attitudes towards risk may vary considerably when measured with different methods. Based on a within-subject experimental design using four widespread risk preference elicitation tasks, we find that the different methods indeed give rise to considerably varying estimates of individual and aggregate level risk preferences. Conducting simulation exercises to obtain benchmarks for subjects’ behavior, we find that the observed heterogeneity in risk preference estimates across methods is qualitatively similar to the heterogeneity arising from independent random draws from the choice distributions observed in the experiment. Our study, however, provides evidence that subjects are surprisingly well aware of the variation in the riskiness of their choices. We argue that this calls into question the common interpretation of variation in revealed risk preferences as being inconsistent.