A Theoretical and Experimental Appraisal of Five Risk Elicitation Methods

Paolo Crosetto and Antonio Filippin

No 547, SOEPpapers on Multidisciplinary Panel Data Research from DIW Berlin, The German Socio-Economic Panel (SOEP)

Abstract: We perform a comparative analysis of five incentivized tasks used to elicit risk preferences. Theoretically, we compare the elicitation methods in terms of completeness of the range of the estimates as well as their precision, the likelihood of triggering loss aversion, and problems arising when multiple choices are required. Using original data from a homogeneous population, we experimentally investigate the distribution of estimated risk preferences, whether they differ by gender, and the complexity of the tasks. We do so using both non-parametric tests and a structural model estimated with maximum likelihood. We find that the estimated risk aversion parameters vary greatly across tasks and that gender differences appear only when the task is more likely to trigger loss aversion.

Keywords: Risk attitudes; Elicitation methods; Experiment (search for similar items in EconPapers)
JEL-codes: C81 C91 D81 (search for similar items in EconPapers)
Pages: 28 p.
Date: 2013
New Economics Papers: this item is included in nep-cbe, nep-exp and nep-upt
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (11)

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Related works:
Working Paper: A Theoretical and Experimental Appraisal of Five Risk Elicitation Methods (2013)
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Persistent link: https://EconPapers.repec.org/RePEc:diw:diwsop:diw_sp547

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