Consistency and heterogeneity of individual behavior under uncertainty

• 成果类型: Article
• 署名作者: Choi, Syngjoo; Fisman, Raymond; Gale, Douglas; Kariv, Shachar
• 署名单位: University of London; University College London; Columbia University; New York University; University of California System; University of California Berkeley
• 刊物名称: AMERICAN ECONOMIC REVIEW
• ISSN/ISSBN: 0002-8282
• DOI: 10.1257/aer.97.5.1921
• 发表日期: 2007
• 页码: 1921-1938
• 关键词: utility-theory; independence axiom; RISK; auctions; aversion; CHOICE

摘要

By using graphical representations of simple portfolio choice problems, we generate a very rich dataset to study behavior under uncertainty at the level of the individual subject. We test the data for consistency with the maximization hypothesis, and we estimate preferences using a two-parameter utility function based on Faruk Gul (1991). This specification provides a good interpretation of the data at the individual level and can account for the highly heterogeneous behaviors observed in the laboratory. The parameter estimates jointly describe attitudes toward risk and allow us to characterize the distribution of risk preferences in the population.