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

Author

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  • Michèle Cohen

    (Centre d'Economie de la Sorbonne - Paris School of Economics)

  • Jean-Marc Tallon

    (Centre d'Economie de la Sorbonne - Paris School of Economics)

  • Jean-Christophe Vergnaud

    (Centre d'Economie de la Sorbonne)

Abstract

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 cautions 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

Suggested Citation

  • 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.
    • Handle: RePEc:mse:cesdoc:09029
    DOI: 10.1007/s11238-010-9205-8
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    JEL classification:

    • C90 - Mathematical and Quantitative Methods - - Design of Experiments - - - General
    • D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
    • C91 - Mathematical and Quantitative Methods - - Design of Experiments - - - Laboratory, Individual Behavior

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