Coherent-ambiguityaversionisdefinedwithinthe(Klibanoffetal.,Econo- metrica 73:1849–1892, 2005) smooth-ambiguity model (henceforth KMM) as the combination of choice-ambiguity and value-ambiguity aversion. Five ambiguous deci- sion tasks are analyzed theoretically, where an individual faces two-stage lotteries with binomial, uniform, or unknown second-order probabilities. Theoretical predictions are then tested through a 10-task experiment. In (unambiguous) tasks 1–5, risk aversion is elicited through both a portfolio choice method and a BDM mechanism. In (ambigu- ous) tasks 6–10, choice-ambiguity aversion is elicited through the portfolio choice method, while value-ambiguity aversion comes about through the BDM mechanism. The behavior of over 75 % of classified subjects is in line with the KMM model in all tasks 6–10, independent of their degree of risk aversion. Furthermore, the percentage of coherent-ambiguity-averse subjects is lower in the binomial than in the uniform and in the unknown treatments, with only the latter difference being significant. The most part of coherent-ambiguity-loving subjects show a high risk aversion.

Eliciting ambiguity aversion in unknown and in compound lotteries. A KMM experimental approach / Attanasi, Giuseppe; Gollier, Christian; Montesano, Aldo; Pace, Noemi. - In: THEORY AND DECISION. - ISSN 0040-5833. - (2014). [10.2139/ssrn.2156196]

Eliciting ambiguity aversion in unknown and in compound lotteries. A KMM experimental approach

Giuseppe Attanasi
;
2014

Abstract

Coherent-ambiguityaversionisdefinedwithinthe(Klibanoffetal.,Econo- metrica 73:1849–1892, 2005) smooth-ambiguity model (henceforth KMM) as the combination of choice-ambiguity and value-ambiguity aversion. Five ambiguous deci- sion tasks are analyzed theoretically, where an individual faces two-stage lotteries with binomial, uniform, or unknown second-order probabilities. Theoretical predictions are then tested through a 10-task experiment. In (unambiguous) tasks 1–5, risk aversion is elicited through both a portfolio choice method and a BDM mechanism. In (ambigu- ous) tasks 6–10, choice-ambiguity aversion is elicited through the portfolio choice method, while value-ambiguity aversion comes about through the BDM mechanism. The behavior of over 75 % of classified subjects is in line with the KMM model in all tasks 6–10, independent of their degree of risk aversion. Furthermore, the percentage of coherent-ambiguity-averse subjects is lower in the binomial than in the uniform and in the unknown treatments, with only the latter difference being significant. The most part of coherent-ambiguity-loving subjects show a high risk aversion.
2014
coherent-ambiguity aversion; value-ambiguity aversion; choice-ambiguity aversion; smooth ambiguity model; binomial distribution; uniform distribution; unknown urn
01 Pubblicazione su rivista::01a Articolo in rivista
Eliciting ambiguity aversion in unknown and in compound lotteries. A KMM experimental approach / Attanasi, Giuseppe; Gollier, Christian; Montesano, Aldo; Pace, Noemi. - In: THEORY AND DECISION. - ISSN 0040-5833. - (2014). [10.2139/ssrn.2156196]
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11573/1622182
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