The DOI matches its Crossref record; 39 of the 39 references it cites were found in a registry or an index.
Estimating ambiguity aversion in a portfolio choice experiment
Open accessAbstract
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 ambiguous with unknown probabilities. We estimate two specifications of ambiguity aversion, one kinked and one smooth, that encompass many of the theoretical models in the literature. Each specification includes two parameters: one for ambiguity attitudes and another for risk attitudes. We also estimate a three-parameter specification that includes an additional parameter for pessimism/optimism (underweighting/overweighting the probabilities of different payoffs). The parameter estimates for individual subjects exhibit considerable heterogeneity. We cannot reject the null hypothesis of subjective expected utility for a majority of subjects. Most of the remaining subjects exhibit statistically significant ambiguity aversion or seeking and/or pessimism or optimism.
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Citations
Cites
Knight, F. H. (1921) · Cited by 9,948
“Risk, Ambiguity, and the Savage Axioms.”
Ellsberg, D. (1961) · The Quarterly Journal of Economics · doi:10.2307/1884324 · Cited by 7,891
(2001) · Empirical Direction in Design and Analysis · doi:10.4324/9781410600004-24 · Cited by 6,808
Maxmin expected utility with non-unique prior
Gilboa, I., & Schmeidler, D. (1989) · Journal of Mathematical Economics · doi:10.1016/0304-4068(89)90018-9 · Cited by 4,040
The Handbook of experimental economics
(1995) · Choice Reviews Online · doi:10.5860/choice.33-1645 · Cited by 3,679
A theory of anticipated utility
Quiggin, J. (1982) · Journal of Economic Behavior & Organization · doi:10.1016/0167-2681(82)90008-7 · Cited by 3,129
Subjective probability and expected utility without additivity
(2004) · Uncertainty in Economic Theory · doi:10.4324/9780203358061-10 · Cited by 2,510
Subjective Probability and Expected Utility without Additivity
Schmeidler, D. (1989) · Econometrica · doi:10.2307/1911053 · Cited by 2,303
A Smooth Model of Decision Making under Ambiguity
Klibanoff, P., Marinacci, M., & Mukerji, S. (2005) · Econometrica · doi:10.1111/j.1468-0262.2005.00640.x · Cited by 1,882
Recent developments in modeling preferences: Uncertainty and ambiguity
Camerer, C., & Weber, M. (1992) · Journal of Risk and Uncertainty · doi:10.1007/bf00122575 · Cited by 1,795
Cited by
Epstein, L. G., & Schneider, M. (2010) · Annual Review of Financial Economics · doi:10.1146/annurev-financial-120209-133940 · Cited by 332
Choi, S., Kariv, S., Müller, W., & Silverman, D. (2014) · American Economic Review · doi:10.1257/aer.104.6.1518 · Cited by 277
Self-citationThe emergence of economic rationality of GPT
Chen, Y., Liu, T. X., Shan, Y., & Zhong, S. (2023) · Proceedings of the National Academy of Sciences · doi:10.1073/pnas.2316205120 · Cited by 164
“Prior studies have computed rationality score based on choice data in risky, intertemporal, and social decision-making in laboratory environments (Harbaugh et al., 2001; Andreoni and Miller, 2002; Choi et al., 2007; Fisman et al., 2007; Andreoni and Sprenger, 2012; Ahn et al., 2014; Choi et al., 2014; Halevy et al., 2…”
BackgroundThe empirical relationship between nonstandard economic behaviors
Dean, M., & Ortoleva, P. (2019) · Proceedings of the National Academy of Sciences · doi:10.1073/pnas.1821353116 · Cited by 78
Metadata
- Authors
- Ahn, D., Choi, S., Gale, D., & Kariv, S.
- Venue
- Quantitative Economics
- Publisher
- The Econometric Society
- Published
- 2014-07
- Volume
- 5
- Issue
- 2
- Pages
- 195-223
- ISSN
- 1759-7323 (ISSN-L)
- OpenAlex
- W1502763133
- Cited by
- 303
- References
- 39
- FWCI
- 20.57
- Type
- journal article
- Language
- en
- Open access
- diamond
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Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.
