An Experimental Comparison of Risky and Riskless Choice-Limitations of Prospect Theory and Expected Utility Theory

• 成果类型: Article
• 署名作者: Chung, Hui-Kuan; Glimcher, Paul; Tymula, Agnieszka
• 署名单位: New York University; New York University; University of Sydney
• 刊物名称: AMERICAN ECONOMIC JOURNAL-MICROECONOMICS
• ISSN/ISSBN: 1945-7669
• DOI: 10.1257/mic.20170112
• 发表日期: 2019
• 页码: 34-67
• 关键词: Loss aversion; dependence; BEHAVIOR; gains

摘要

Prospect theory, used descriptively for decisions under both risk and certainty, presumes concave utility over gains and convex utility over losses; a pattern widely seen in lottery tasks. Although such discontinuous gain-loss reference-dependence is also used to model riskless choices, only limited empirical evidence supports this use. In incentive-compatible experiments, we find that gain-loss reflection effects are not observed under riskless choice as predicted by prospect theory, even while in the same subjects gain-loss reflection effects are observed under risk Our empirical results challenge the application of choice models across both risky and riskless domains.