Measuring Loss Aversion under Ambiguity: A Method to Make Prospect Theory Completely Observable
Mohammed Abdellaoui
(1, 2)
,
Han Bleichrodt
(3, 4)
,
Olivier L’haridon
(2, 5)
,
Dennie van Dolder
(6)
Olivier L’haridon
- Fonction : Auteur
- PersonId : 173019
- IdHAL : olivier-lharidon
- ORCID : 0000-0001-8786-4765
- IdRef : 067070744
Résumé
We propose a simple, parameter‐free method that, for the first time, makes it possible to completely observe Tversky and Kahneman’s (1992) prospect theory. While methods existed to measure event weighting and the utility for gains and losses separately, there was no method to measure loss aversion under ambiguity. Our method allows this and thereby it can measure prospect theory’s entire utility function. Consequently, we can properly identify properties of utility and perform new tests of prospect theory. We implemented our method in an experiment and obtained support for prospect theory. Utility was concave for gains and convex for losses and there was substantial loss aversion. Both utility and loss aversion were the same for risk and ambiguity, as assumed by prospect theory, and sign‐comonotonic trade‐off consistency, the central condition of prospect theory, held.
Format du dépôt | Notice |
---|---|
Type de dépôt | Article dans une revue |
Titre |
en
Measuring Loss Aversion under Ambiguity: A Method to Make Prospect Theory Completely Observable
|
Résumé |
en
We propose a simple, parameter‐free method that, for the first time, makes it possible to completely observe Tversky and Kahneman’s (1992) prospect theory. While methods existed to measure event weighting and the utility for gains and losses separately, there was no method to measure loss aversion under ambiguity. Our method allows this and thereby it can measure prospect theory’s entire utility function. Consequently, we can properly identify properties of utility and perform new tests of prospect theory. We implemented our method in an experiment and obtained support for prospect theory. Utility was concave for gains and convex for losses and there was substantial loss aversion. Both utility and loss aversion were the same for risk and ambiguity, as assumed by prospect theory, and sign‐comonotonic trade‐off consistency, the central condition of prospect theory, held.
|
Auteur(s) |
Mohammed Abdellaoui
1, 2
, Han Bleichrodt
3, 4
, Olivier L’haridon
2, 5
, Dennie van Dolder
6
1
HEC Paris -
Ecole des Hautes Etudes Commerciales
( 105633 )
- 1, rue de la Libération - 78351 Jouy en Josas cedex
- France
2
GREGH -
Groupement de Recherche et d'Etudes en Gestion à HEC
( 1738 )
- 1, avenue de la Libération 78351 JOUY EN JOSAS CEDEX
- France
3
Erasmus School of Economics
( 151582 )
- Rotterdam
- Pays-Bas
4
Department of Applied Economics
( 132128 )
- Pays-Bas
5
CREM -
Centre de recherche en économie et management
( 894 )
- 7 place Hoche, BP 86514
35065 RENNES CEDEX
- France
6
UON -
University of Nottingham, UK
( 407023 )
- University of Nottingham
University Park
Nottingham
NG7 2RD
- Royaume-Uni
|
Langue du document |
Anglais
|
Nom de la revue |
|
Vulgarisation |
Non
|
Comité de lecture |
Oui
|
Audience |
Internationale
|
Date de publication |
2016
|
Date de publication électronique |
2015
|
Volume |
52
|
Numéro |
1
|
Page/Identifiant |
1-20
|
Domaine(s) |
|
Mots-clés (JEL) |
|
Mots-clés |
en
elicitation methods, risk, ambiguity, prospect theory, loss aversion, utility for gains and losses
|
DOI | 10.1007/s11166-016-9234-y |
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