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The attitude toward probabilities of portfolio managers : an experimental study

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Abstract

This paper proposes an experiment about the attitude toward probabilities on a population of portfolio managers. Its aim is to check whether or not portfolio managers are neutral toward probabilities. Meanwhile, it presents a experimental protocole that highlights an inconsistency between two experimental techniques. It also introduces a new functional form for the probability weighting function. Results unambiguously show that portfolio managers are not neutral toward probabilities and that they display a strong heterogeneity in their preferences.

Suggested Citation

  • Nicolas Roux, 2008. "The attitude toward probabilities of portfolio managers : an experimental study," Documents de travail du Centre d'Economie de la Sorbonne v08073, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
  • Handle: RePEc:mse:cesdoc:v08073
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    File URL: ftp://mse.univ-paris1.fr/pub/mse/CES2008/V08073.pdf
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    Cited by:

    1. Michèle Cohen & Jean-Marc Tallon & Jean-Christophe Vergnaud, 2011. "An experimental investigation of imprecision attitude and its relation with risk attitude and impatience," Theory and Decision, Springer, vol. 71(1), pages 81-109, July.

    More about this item

    Keywords

    Attitude toward probabilities; probability weighting function; expected utility; rank dependent expected utility; experimental economics; decision under risk.;

    JEL classification:

    • C91 - Mathematical and Quantitative Methods - - Design of Experiments - - - Laboratory, Individual Behavior

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