Skewness preferences and asset selection: An experimental study

Tobias Bruenner (), Rene Levinský () and Jianying Qiu

Working Papers from Faculty of Economics and Statistics, University of Innsbruck

Abstract: In this paper we experimentally test skewness preferences at the individual level. Several prospects that can be ordered with respect to the third-degree stochastic dominance (3SD) criterion are ranked by the participants of the experiment. We find that the skewness of a distribution has a significant impact on the decisions. Yet, while skewness has an impact, its direction differs substantially across subjects: 39% of our subjects act in accordance with skewness seeking and 10% seem to avoid skewness. On the level of individual decisions we find that the variance of the prospects and subjects' experience increases the probability of choosing the lottery with greater skewness.

Keywords: Skewness; Stochastic dominance; Decision-making under uncertainty (search for similar items in EconPapers)
JEL-codes: D81 C91 G11 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-exp and nep-upt
Date: 2009-05

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Persistent link: http://EconPapers.repec.org/RePEc:inn:wpaper:2009-13

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