ZOOMING IN ON AMBIGUITY ATTITUDES

• 成果类型: Article
• 署名作者: Baillon, Aurelien; Emirmahmutoglu, Aysil
• 署名单位: Erasmus University Rotterdam - Excl Erasmus MC; Erasmus University Rotterdam; Tinbergen Institute
• 刊物名称: INTERNATIONAL ECONOMIC REVIEW
• ISSN/ISSBN: 0020-6598
• DOI: 10.1111/iere.12331
• 发表日期: 2018
• 页码: 2107-2131
• 关键词: probability weighting function; prospect-theory; averse preferences; expected utility; decision weights; risk attitudes; uncertainty; CHOICE; losses; REPRESENTATION

摘要

Empirical studies of ambiguity attitudes to date have focused on events of moderate likelihood. Extrapolation to rare events requires caution. In an Ellsberg-like experiment with very unlikely events, we measured ambiguity attitudes with neither assumptions on subjects' beliefs nor restrictions to specific ambiguity models. Very unlikely events were overweighted, being weighted more strongly in isolation than when part of larger events. Using latent profile analysis, we classified the subjects in terms of deviations from ambiguity neutrality. One third behaved close to ambiguity neutrality. The others exhibited overweighting of rare events. Such behavior can lead to money-pump situations.