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

  • 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)

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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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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