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An Experimental Investigation Of Imprecision Attitude And Its Relation With Risk Attitude And Impatience

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Executive Summary

The authors report in this paper the result of three experiments on risk, ambiguity and time attitude. The first two differed by the population considered (students vs. general population) while the third one used a different protocol and concerned students and portfolio managers. They find quite a lot of heterogeneity at the individual level. Of principal interest was the elicitation of risk, time and ambiguity attitudes and the relationship among these (model free) measures. They find that on the student population, there is essentially no correlation. A non negligible fraction of the population behaves in an extremely cautious manner in the risk and ambiguity domain. When they drop this population from the sample, the correlation between the measures is also non significant.

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