The attitude toward probabilities of portfolio managers: an experimental study

Nicolas Roux

Documents de travail du Centre d'Economie de la Sorbonne from Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne

Abstract: This paper proposes an experiment about the attitude toward probabilities on a population of portfolio managers. Its aim is to check whether or not portfolio managers are neutral toward probabilities. Meanwhile, it presents a experimental protocole that highlights an inconsistency between two experimental techniques. It also introduces a new functional form for the probability weighting function. Results unambiguously show that portfolio managers are not neutral toward probabilities and that they display a strong heterogeneity in their preferences

Keywords: Attitude toward probabilities; probability weighting function; expected utility; rank dependent expected utility; experimental economics; decision under risk (search for similar items in EconPapers)
JEL-codes: C91 (search for similar items in EconPapers)
Pages: 33 pages
Date: 2008-09
New Economics Papers: this item is included in nep-cbe, nep-exp and nep-upt
References: Add references at CitEc
Citations: View citations in EconPapers (3)

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ftp://mse.univ-paris1.fr/pub/mse/CES2008/V08073.pdf (application/pdf)

Related works:
Working Paper: The Attitude Toward Probabilities of Portfolio Managers: an Experimental Study (2008)
Working Paper: The Attitude Toward Probabilities of Portfolio Managers: an Experimental Study (2008)
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Persistent link: https://EconPapers.repec.org/RePEc:mse:cesdoc:v08073

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