The Attitude Toward Probabilities of Portfolio Managers: an Experimental Study

Nicolas Roux

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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.; decision under risk; Attitude face aux probabilités; fonction de pondération des probabilités; utilité espérée dépendante du rang; économie expérimentale; décision dans le risque. (search for similar items in EconPapers)
Date: 2008-11
Note: View the original document on HAL open archive server: https://shs.hal.science/halshs-00344785
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Citations: View citations in EconPapers (3)

Published in 2008

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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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