Do people maximize quantiles?

• 成果类型: Article
• 署名作者: de Castro, Luciano; Galvao, Antonio F.; Noussair, Charles N.; Qiao, Liang
• 署名单位: University of Iowa; Michigan State University; University of Arizona
• 刊物名称: GAMES AND ECONOMIC BEHAVIOR
• ISSN/ISSBN: 0899-8256
• DOI: 10.1016/j.geb.2021.11.010
• 发表日期: 2022
• 页码: 22-40
• 关键词: Quantile preference; risk attitude; experiment

摘要

Quantiles are used for decision making in investment analysis and in the mining, oil and gas industries. However, it is unknown how common quantile-based decision making actually is among typical individual decision makers. This paper describes an experiment that aims to (1) compare how common is decision making based on quantiles relative to expected utility maximization, and (2) estimate risk attitude parameters under the assumption of quantile preferences. The experiment has two parts. In the first part, individuals make pairwise choices between risky lotteries, and the competing models are fitted to the choice data. In the second part, we directly elicit a decision rule from a menu of alternatives. The results show that a quantile preference model outperforms expected utility for 32%-55%, of participants, depending on the metric. The majority of individuals are risk averse, and women are more risk averse than men, under both models. (c) 2021 Elsevier Inc. All rights reserved.