Unexpected Utility: Experimental Tests of Five Key Questions about Preferences over Risk
Unexpected Utility: Experimental Tests of Five Key Questions about Preferences over Risk
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发表时间：
2010-04
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通讯作者：
J. Andreoni;William T. Harbaugh
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作者：
J. Andreoni;William T. Harbaugh
关于风险偏好的实验工作通常考虑对少数离散选项的选择，其中一些不涉及风险。这样的实验经常显示出标准期望效用理论的矛盾。我们重新考虑这一文献与一个新的偏好诱导设备，允许一个连续的选择空间，只有风险的选项。我们的分析仅假设偏好取决于概率p和奖金x; U = u（p; x）：然后我们允许受试者在线性预算约束r1 p + r2 x = m下连续选择p和x，因此所有期望值非零的前景都是有风险的。我们测试五个最重要的争论问题的风险偏好：理性，前景理论的不对称性，独立性公理，概率加权，和恒定的相对风险厌恶。总的来说，我们发现预期的效用模型做得出乎意料的好。
Experimental work on preferences over risk has typically considered choices over a small number of discrete options, some of which involve no risk. Such experiments often demonstrate contradictions of standard expected utility theory. We reconsider this literature with a new preference elicitation device that allows a continuous choice space over only risky options. Our analysis assumes only that preferences depend on the probability p and prize x; U = u(p; x): We then allow subjects to choose p and x continuously on a linear budget constraint, r1p + r2x = m, so that all prospects with a nonzero expected value are risky. We test five of the most importantly debated questions about risk preferences: rationality, prospect theory asymmetry, the independence axiom, probability weighting, and constant relative risk aversion. Overall, we find that the expected utility model does unexpectedly well.