Journal ArticleDOI
Optimal frequency of portfolio evaluation in a choice experiment with ambiguity and loss aversion
TLDR
In this article , the authors estimate a structural model using data from a novel experiment investigating how investors' preferred frequency of portfolio evaluations balance the opposing effects of ambiguity and loss aversion, finding that 70% of investors would opt for a high frequency of investment evaluations, reflecting the dominating effect of ambiguity aversion over loss aversion.About:
This article is published in Journal of Econometrics.The article was published on 2022-11-01. It has received 1 citations till now. The article focuses on the topics: Ambiguity aversion & Ambiguity.read more
Citations
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MonographDOI
Estimation of Structural Models Using Experimental Data From the Lab and the Field
TL;DR: In this paper , the authors provide a rich set of explicit models of non-classical preferences and belief formation which can be used to estimate structural models of decision making, including outcome-based preferences, belief-dependent preferences and risk preferences.
References
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Daniel Kahneman,Amos Tversky +1 more
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TL;DR: Z-Tree as mentioned in this paper is a toolbox for ready-made economic experiments, which allows programming almost any kind of experiments in a short time and is stable and easy to use.
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Risk Aversion and Incentive Effects
Charles A. Holt,Susan K. Laury +1 more
TL;DR: In this article, a menu of paired lottery choices is structured so that the crossover point to the high-risk lottery can be used to infer the degree of risk aversion, and a hybrid utility function with increasing relative and decreasing absolute risk aversion nicely replicates the data patterns over this range of payoffs from several dollars to several hundred dollars.
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A Smooth Model of Decision Making Under Ambiguity
TL;DR: In this article, a model of preferences over acts is proposed and axiomatize, such that the decision maker will preference act f to act g if and only if Eμφ (Eπu ◦ f) ≥ Eπu g, where E is the expectation operator, u is a vN-M utility function, φ is an increasing transformation, and μ is a subjective probability over the set Π of probability measures π that thedecision maker thinks are relevant given his subjective information.
Journal ArticleDOI
An Experiment on Risk Taking and Evaluation Periods
Uri Gneezy,Jan Potters +1 more
TL;DR: This paper found that the more frequently returns are evaluated, the more risk averse investors will be, in line with the behavioral hypothesis of "myopic loss aversion", which assumes that people are myopic in evaluating outcomes over time, and are more sensitive to losses than to gains.
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