Comment on Risk Preferences Are Not Time Preferences: Balancing on a Budget Line

• 成果类型: Editorial Material
• 署名作者: Epper, Thomas; Fehr-Duda, Helga
• 署名单位: University of St Gallen; University of Zurich; University of Zurich
• 刊物名称: AMERICAN ECONOMIC REVIEW
• ISSN/ISSBN: 0002-8282
• DOI: 10.1257/aer.20130420
• 发表日期: 2015
• 页码: 2261-2271
• 关键词: probability weighting function; utility; aversion; CHOICE; allais

摘要

In a recent experimental study of intertemporal risky decision making, Andreoni and Sprenger (2012) find that subjects exhibit a preference for intertemporal diversification, which is inconsistent with discounted expected utility theory. It was claimed that their results are also at odds with models involving probability weighting, such as rank-dependent utility and cumulative prospect theory. Here we demonstrate, however, that rank-dependent probability weighting explains intertemporal diversification if decision makers care about portfolio risk. Moreover, we provide a unified account of all of Andreoni and Sprenger's key findings. (JEL C91, D81, D91)