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Estimating ambiguity aversion in a portfolio choice experiment
Ahn, David S.; Choi, Syngjoo; Gale, Douglas; Kariv, Shachar - In: Quantitative economics : QE ; journal of the … 5 (2014) 2, pp. 195-223
We report a portfolio-choice experiment that enables us to estimate parametric models of ambiguity aversion at the level of the individual subject. The assets are Arrow securities that correspond to three states of nature, where one state is risky with known probability and two states are...
Persistent link: https://www.econbiz.de/10011757224
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Skewness preferences and asset selection : an experimental study
Bruenner, Tobias; Levínský, René; Qiu, Jianying - 2009
In this paper we experimentally test skewness preferences at the individual level. Several prospects that can be ordered with respect to the third-degree stochastic dominance (3SD) criterion are ranked by the participants of the experiment. We find that the skewness of a distribution has a...
Persistent link: https://www.econbiz.de/10009734686
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Measuring Loss Aversion under Ambiguity : A Method to Make Prospect Theory Completely Observable
Abdellaoui, Mohammed - 2016
and Kahneman's (1992) prospect theory. While methods existed to measure event weighting and the utility for gains and … measure prospect theory's entire utility function. Consequently, we can properly identify properties of utility and perform … new tests of prospect theory. We implemented our method in an experiment and obtained support for prospect theory. Utility …
Persistent link: https://www.econbiz.de/10013007231
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Skewness preferences and asset selection : an experimental study
Brünner, Tobias; Levínský, René; Qiu, Jianying - 2009
Persistent link: https://www.econbiz.de/10008655974
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Optimal betting under parameter uncertainty : improving the Kelly criterion
Baker, Rose D.; McHale, Ian - In: Decision analysis : a journal of the Institute for … 10 (2013) 3, pp. 189-199
Persistent link: https://www.econbiz.de/10010127787
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A wealth-requirement axiomatization of riskiness
Foster, Dean P.; Hart, Sergiu - In: Theoretical economics : TE ; an open access journal in … 8 (2013) 2, pp. 591-620
Persistent link: https://www.econbiz.de/10011686657
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Portfolio inertia under ambiguity
Asano, Takao (contributor) - 2004 - [Elektronische Ressource]
We consider individual’s portfolio selection problems. Introducing the concept of ambiguity, we show the existence of portfolio inertia under the assumptions that decision maker’s beliefs are captured by an inner measure, and that her preferences are represented by the Choquet integral with...
Persistent link: https://www.econbiz.de/10002117590
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Fundamental uncertainty, portfolio choice, and liquidity preference theory
Pasche, Markus - 2009
One of Keynes' core issues in his liquidity preference theory is how fundamental uncertainty affects the propensity to …
Persistent link: https://www.econbiz.de/10003886826
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Fundamental uncertainty, portfolio choice, and liquidity preference theory
Pasche, Markus - 2009
One of Keynes’ core issues in his liquidity preference theory is how fundamental uncertainty affects the propensity to …
Persistent link: https://www.econbiz.de/10003905066
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Dual representation of choice and aspirational preferences
Brown, David B.; De Giorgi, Enrico; Sim, Melvyn - 2010
The appendix can be found at: "http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2005194" http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2005194 We consider choice over uncertain, monetary payoffs and study a general class of preferences. These preferences favor diversification, except...
Persistent link: https://www.econbiz.de/10003970449