Experienced vs. Described Uncertainty: Do We Need Two Prospect Theory Specifications?

• 成果类型: Article
• 署名作者: Abdellaoui, Mohammed; L'Haridon, Olivier; Paraschiv, Corina
• 署名单位: Hautes Etudes Commerciales (HEC) Paris; Sorbonne Universite; Universite Paris Cite
• 刊物名称: MANAGEMENT SCIENCE
• ISSN/ISSBN: 0025-1909
• DOI: 10.1287/mnsc.1110.1368
• 发表日期: 2011
• 页码: 1879-1895
• 关键词: experience-based decisions; description-based decisions; Rare events; RISK; uncertainty; prospect theory; utility; loss aversion; decision weights; probability weighting; source of uncertainty; ambiguity

摘要

This paper reports on the results of an experimental elicitation at the individual level of all prospect theory components (i.e., utility, loss aversion, and weighting functions) in two decision contexts: situations where alternatives are described as probability distributions and situations where the decision maker must experience unknown probability distributions through sampling before choice. For description-based decisions, our results are fully consistent with prospect theory's empirical findings under risk. Furthermore, no significant differences are detected across contexts as regards utility and loss aversion. Whereas decision weights exhibit similar qualitative properties across contexts typically found under prospect theory, our data suggest that, for gains at least, the subjective treatment of uncertainty in experience-based and description-based decisions is significantly different. More specifically, we observe a less pronounced overweighting of small probabilities and a more pronounced underweighting of moderate and high probabilities for experience-based decisions. On the contrary, for losses, no significant differences were observed in the evaluation of prospects across contexts.