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Estimating Ambiguity Aversion in a Portfolio Choice Experiment| old_uid | 3845 |
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| title | Estimating Ambiguity Aversion in a Portfolio Choice Experiment |
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| start_date | 2008/01/18 |
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| schedule | 10h |
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| online | no |
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| summary | We report a laboratory experiment that enables us to estimate four prominent models of ambiguity aversion : Subjective Expected Utility (SEU), Maxmin Expected Utility (MEU), Recursive ExpectedUtility (REU), and A-Maxmin Expected Utility (A-MEU) at the level of the individual subject.
We employ graphical representations ofthree-dimensional budget sets over bundles of Arrow securities, one of which promises a unit payoff with a known probability and two with unknown (ambiguous) probabilities. The sample exhibits considerable heterogeneity in preferences, as captured through parameter estimates.
Nonetheless, there exists a strong tendency to equate the demands for the securities that pay off in the ambiguous states. This feature is more easily accommodated by the A-MEU model than by the REU model. |
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| responsibles | Bourgeois-Gironde |
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