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31 août 2021
- ISIDORE Id: 10670/1.a1e55f...
- hal: hal-03330225
info:eu-repo/semantics/OpenAccess
Mots-clés
recursive expected utility preference for early resolution probability weighting recursive rank-dependent utility time preference risk preference Temporal resolution of uncertainty temporal risk C - Mathematical and Quantitative Methods/C.C9 - Design of Experiments/C.C9.C91 - Laboratory, Individual Behavior D - Microeconomics/D.D5 - General Equilibrium and Disequilibrium/D.D5.D53 - Financial Markets G - Financial Economics/G.G1 - General Financial Markets/G.G1.G11 - Portfolio Choice • Investment Decisions G - Financial Economics/G.G1 - General Financial Markets/G.G1.G12 - Asset Pricing • Trading Volume • Bond Interest RatesSujets proches
Probability Statistical inferenceCiter ce document
Mohammed Abdellaoui et al., « Temporal Risk Resolution: Utility versus Probability Weighting Approaches », HAL SHS (Sciences de l’Homme et de la Société), ID : 10670/1.a1e55f...
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Résumé
This paper reports two experiments in which attitudes towards temporal risk resolution is elicited from choices between two-outcome lotteries that pay out at some future fixed date and can be resolved either now or later. We show that matching probabilities provides a simple method to measure attitudes towards temporal resolution-via the utility scaleunder Kreps and Porteus' (1978) recursive expected utility. We also analyze our data using a general recursive model that can reveal attitudes towards temporal risk resolution through the utility scale and/or the probability weighting scale. In terms of goodness of fit, as well as of prediction accuracy, our results point to a better performance of the probability weighting approach. More specifically, we show that individuals become less sensitive and more pessimistic with respect to winning probabilities when lotteries are resolved later rather than now.
