The Distribution and Relevance of Ambiguity Attitudes

Hans-Martin von Gaudecker (), Axel Wogrolly and Christian Zimpelmann ()

CRC TR 224 Discussion Paper Series from University of Bonn and University of Mannheim, Germany

Abstract: This paper analyzes the stability and distribution of ambiguity attitudes using a broad population sample. Using six waves of data, a structural stochastic choice model yields three individual-level parameters: ambiguity aversion, ambiguity-induced insensitivity, and the magnitude of decision errors. These parameters are heterogeneous across individuals, but stable over time and across the domains of financial markets and climate change. We summarize heterogeneity using a discrete classification approach with four types. We label these types as being near ambiguity neutral, ambiguity-averse, ambiguity-seeking, or erratic. Observed characteristics vary between groups in plausible ways. Ambiguity types predict risky asset allocation, even after controlling for covariates.

Keywords: ambiguity attitudes; temporal stability; domain specificity; cluster analysis; household portfolio choice (search for similar items in EconPapers)
JEL-codes: C38 D14 D81 G41 (search for similar items in EconPapers)
Pages: 41
Date: 2022-02, Revised 2025-03
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Persistent link: https://EconPapers.repec.org/RePEc:bon:boncrc:crctr224_2022_272v3

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