Measuring Ambiguity Preferences

David Schröder and Elisa Cavatorta

VfS Annual Conference 2014 (Hamburg): Evidence-based Economic Policy from Verein für Socialpolitik / German Economic Association

Abstract: Ambiguity aversion has shown to be economically relevant and has been proposed as an explanation for many phenomena in economics and fi nance. While the literature has suggested a large variety of elicitation methods to measure ambiguity preferences, their consistency and reliability it is rarely evaluated. This is the fi rst study that systematically analyses the consistency of individual ambiguity preferences elicited using a variety of incentivized tasks, non-incentivized thought experiments and survey questions. We fi nd a high degree of aggregate consistency across elicitation methods, but large discrepancies in degrees of individual consistency in pair-wise tasks comparisons. Finally, the study identi es a set of non-incentivized tasks that predict ambiguity attitudes elicited experimentally which may serve as a viable alternative when running laboratory experiments is unfeasible.

JEL-codes: C81 C91 D01 (search for similar items in EconPapers)
Date: 2014
New Economics Papers: this item is included in nep-cbe, nep-exp and nep-upt
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Persistent link: https://EconPapers.repec.org/RePEc:zbw:vfsc14:100593

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