An experimental investigation of imprecision attitude and its relation with risk attitude and impatience
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.
|Date of creation:||2011|
|Date of revision:|
|Publication status:||Published, Theory and Decision, 2011, 71, 1, 81-110|
|Note:||View the original document on HAL open archive server: http://halshs.archives-ouvertes.fr/halshs-00502820|
|Contact details of provider:|| Web page: http://hal.archives-ouvertes.fr/ |
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- von Gaudecker, H.M. & van Soest, A.H.O. & Wengstrom, E., 2009.
"Heterogeneity in Risky Choice Behavior in a Broad Population,"
2009-12, Tilburg University, Center for Economic Research.
- Hans-Martin von Gaudecker & Arthur van Soest & Erik Wengstrom, 2011. "Heterogeneity in Risky Choice Behavior in a Broad Population," American Economic Review, American Economic Association, vol. 101(2), pages 664-94, April.
- von Gaudecker, H.M. & van Soest, A.H.O. & Wengstrom, E., 2011. "Heterogeneity in risky choice behavior in a broad population," Other publications TiSEM d4881c0f-4798-404d-b796-5, School of Economics and Management.
- Gaudecker, Hans-Martin von & van Soest, Arthur & Wengström, Erik, 2009. "Heterogeneity in Risky Choice Behaviour in a Broad Population," IZA Discussion Papers 4022, Institute for the Study of Labor (IZA).
- Carmela Di Mauro & Anna Maffioletti, 2004. "Attitudes to risk and attitudes to uncertainty: experimental evidence," Applied Economics, Taylor & Francis Journals, vol. 36(4), pages 357-372.
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