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A Theoretical and Experimental Appraisal of Five Risk Elicitation Methods

  • Paolo Crosetto

    ()

    (Max Planck Institute for Economics, Jena)

  • Antonio Filippin

    ()

    (University of Milan, Department of Economics, and Institute for the Study of Labor (IZA))

We perform a comparative analysis of five incentivized tasks used to elicit risk preferences. Theoretically, we compare the elicitation methods in terms of completeness of the range of the estimates as well as their precision, the likelihood of triggering loss aversion, and problems arising when multiple choices are required. Using original data from a homogeneous population, we experimentally investigate the distribution of estimated risk preferences, whether they differ by gender, and the complexity of the tasks. We do so using both non-parametric tests and a structural model estimated with maximum likelihood. We find that the estimated risk aversion parameters vary greatly across tasks and that gender differences appear only when the task is more likely to trigger loss aversion.

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Paper provided by Friedrich-Schiller-University Jena, Max-Planck-Institute of Economics in its series Jena Economic Research Papers with number 2013-009.

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Date of creation: 19 Feb 2013
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Handle: RePEc:jrp:jrpwrp:2013-009
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