A note on optimal experimentation under risk aversion

• 成果类型: Article
• 署名作者: Keller, Godfrey; Novak, Vladimir; Willems, Tim
• 署名单位: University of Oxford; Charles University Prague; Czech Academy of Sciences; Economics Institute of the Czech Academy of Sciences; International Monetary Fund
• 刊物名称: JOURNAL OF ECONOMIC THEORY
• ISSN/ISSBN: 0022-0531
• DOI: 10.1016/j.jet.2018.11.006
• 发表日期: 2019
• 页码: 476-487
• 关键词: Experimentation; learning; risk aversion

摘要

In a standard two-armed bandit setup, this paper shows - counterintuitively - that a more risk-averse decision maker might be more willing to take risky actions. The reason relates to the fact that pulling the risky arm in bandit models produces information on the environment - thereby reducing the risk that a decision maker will face in the future. This finding gives reason for caution when inferring risk preferences from observed actions: in a bandit setup, observing a greater appetite for risky actions can actually be indicative of more risk aversion, not less. (C) 2018 Elsevier Inc. All rights reserved.