Testing for Prudence and Skewness Seeking

• 成果类型: Article
• 署名作者: Ebert, Sebastian; Wiesen, Daniel
• 署名单位: University of Bonn; University of Bonn
• 刊物名称: MANAGEMENT SCIENCE
• ISSN/ISSBN: 0025-1909
• DOI: 10.1287/mnsc.1110.1354
• 发表日期: 2011
• 页码: 1334-1349
• 关键词: decision making under risk; precautionary savings; prudence; Downside risk; skewness seeking; laboratory experiment

摘要

Numerous theoretical predictions such as precautionary saving or preventive behavior have been derived for prudent decision makers. Further, prudence can be characterized as downside risk aversion and plays a key role in preference for skewness. We use a simple experimental method to test for prudence and skewness preference in the laboratory and compare the two. To this end, we introduce a novel graphical representation of compound lotteries that is easily accessible to subjects and test it for robustness, using a factorial design. Prudence is observed on the aggregate and individual level. We find that prudence does not boil down to skewness seeking. We further provide some theoretical explanations for this result.