In a series of experiments the interactions among individual attitudes towards risk and uncertainty, the sign of the outcome domain, and the way uncertainty is represented are tested. This is done in a unified framework, eliciting individual values by means of a second price auction. Results confirm the presence of the well-known fourfold pattern of risk attitude (risk aversion for gains and risk seeking for losses at high probability, and risk seeking for gains and risk aversion for losses at low probability) and show that this pattern can also be extended to uncertainty. In the valuation of losses the modal pattern is decreasing risk and uncertainty aversion as the probability of loss increases, while increasing risk and uncertainty aversion is observed for gains. Moreover, it is found that the size of reaction to uncertainty does not depend on the outcome domain, and that it persists in the face of an incentive compatible mechanism to elicit preferences.

Attitudes to risk and Attitude to Uncertainty : experimental evidence

MAFFIOLETTI, Anna;
2004-01-01

Abstract

In a series of experiments the interactions among individual attitudes towards risk and uncertainty, the sign of the outcome domain, and the way uncertainty is represented are tested. This is done in a unified framework, eliciting individual values by means of a second price auction. Results confirm the presence of the well-known fourfold pattern of risk attitude (risk aversion for gains and risk seeking for losses at high probability, and risk seeking for gains and risk aversion for losses at low probability) and show that this pattern can also be extended to uncertainty. In the valuation of losses the modal pattern is decreasing risk and uncertainty aversion as the probability of loss increases, while increasing risk and uncertainty aversion is observed for gains. Moreover, it is found that the size of reaction to uncertainty does not depend on the outcome domain, and that it persists in the face of an incentive compatible mechanism to elicit preferences.
2004
36
357
372
http://web.ebscohost.com/ehost/pdfviewer/pdfviewer?sid=427f75b1-39e5-46eb-9fb3-19f8b2b30104%40sessionmgr11&vid=2&hid=127
Ambiguity; Uncetainty; Markets; Reflection Effect; Ellsberg pardox
A. MAFFIOLETTI; C. DI MAURO
File in questo prodotto:
File Dimensione Formato  
ae2004.pdf

Accesso riservato

Tipo di file: POSTPRINT (VERSIONE FINALE DELL’AUTORE)
Dimensione 148.41 kB
Formato Adobe PDF
148.41 kB Adobe PDF   Visualizza/Apri   Richiedi una copia

I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.

Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/2318/97484
Citazioni
  • ???jsp.display-item.citation.pmc??? ND
  • Scopus ND
  • ???jsp.display-item.citation.isi??? ND
social impact