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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 …
Persistent link: https://www.econbiz.de/10011757224
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Measuring Loss Aversion under Ambiguity : A Method to Make Prospect Theory Completely Observable
Abdellaoui, Mohammed - 2016
new tests of prospect theory. We implemented our method in an experiment and obtained support for prospect theory. Utility … 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 …
Persistent link: https://www.econbiz.de/10013007231
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Robo-Advisor vs. Human-Advisor : An Experimental Study on Portfolio Valuation
Li, King King; He, Haomin; Zhao, Weilong; Leng, Jiayi - 2023
-advisor. We conduct an online experiment using the second price sealed-bid auction to elicit subjects' valuation to the portfolio … when the portfolio is constructed by a Robo-advisor than a Human-advisor. The result is consistent with the theory of …
Persistent link: https://www.econbiz.de/10014362380
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The distribution of ambiguity attitudes
Gaudecker, Hans-Martin von; Wogrolly, Axel; Zimpelmann, … - 2022
health disparities, health behaviors, dynamic demand, side effects, structural models, HIV/AIDSaThis paper analyzes the stability and distribution of ambiguity attitudes using a broad population sample. Using high-powered incentives, we collected six waves of data on ambiguity attitudes about...
Persistent link: https://www.econbiz.de/10013453995
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The distribution of ambiguity attitudes
Gaudecker, Hans-Martin von; Wogrolly, Axel; Zimpelmann, … - 2022
This paper analyzes the stability and distribution of ambiguity attitudes using a broad population sample. Using high-powered incentives, we collected six waves of data on ambiguity attitudes about financial markets—our main application—and climate change. Estimating a structural stochastic...
Persistent link: https://www.econbiz.de/10013445542
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The distribution of ambiguity attitudes
Gaudecker, Hans-Martin von; Zimpelmann, Christian; … - 2022
This paper analyzes the stability and distribution of ambiguity attitudes using a broad population sample. Using high-powered incentives, we collected six waves of data on ambiguity attitudes about financial markets-our main application-and climate change. Estimating a structural stochastic...
Persistent link: https://www.econbiz.de/10013468257
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Skewness Seeking in a Dynamic Portfolio Choice Experiment
Brocas, Isabelle - 2018
We conduct a controlled laboratory experiment in which subjects dynamically choose to allocate their portfolio between … purchasing the bet throughout the experiment. Among the latter group, purchases are most frequent when subjects are rich and when …
Persistent link: https://www.econbiz.de/10012936544
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Robust Mean-Variance Portfolio Selection with State-Dependent Ambiguity Aversion and Risk Aversion : A Closed-loop Approach
Han, Bingyan - 2019
This paper studies a class of robust mean-variance portfolio selection problems with state-dependent risk aversion. Model uncertainty, in the sense of considering alternative dominated models, is introduced to the problem to reflect the investor's ambiguity aversion. To characterize the robust...
Persistent link: https://www.econbiz.de/10012896233
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Life-Cycle Asset Allocation with Ambiguity Aversion and Learning
Peijnenburg, Kim - 2016
Ambiguity and learning about the equity premium can simultaneously explain the low fraction of financial wealth allocated to stocks over the life cycle and the stock market participation puzzle. Individuals are ambiguous about the size of the equity premium and are averse to this ambiguity,...
Persistent link: https://www.econbiz.de/10013008689
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Life-cycle asset allocation with ambiguity aversion and learning
Peijnenburg, Kim - In: Journal of financial and quantitative analysis : JFQA 53 (2018) 5, pp. 1962-1994
Persistent link: https://www.econbiz.de/10011959061