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dc.contributor.author
Bruhin, Adrian
dc.contributor.author
Fehr-Duda, Helga
dc.contributor.author
Epper, Thomas
dc.date.accessioned
2017-06-08T22:17:44Z
dc.date.available
2017-06-08T22:17:44Z
dc.date.issued
2009-05
dc.identifier.issn
1424-0459
dc.identifier.uri
http://hdl.handle.net/20.500.11850/16783
dc.description.abstract
It has long been recognized that there is considerable heterogeneity in individual risk taking behavior but little is known about the distribution of risk taking types. We present a parsimonious characterization of risk taking behavior by estimating a finite mixture regression model for three different experimental data sets, two Swiss and one Chinese, over a large number of real gains and losses. We find two distinct types of individuals: In all three data sets, the choices of roughly 80% of the subjects exhibit significant deviations from linear probability weighting, consistent with prospect theory. 20% of the subjects weight probabilities near linearly and behave essentially as expected value maximizers. Moreover, individuals are cleanly assigned to one type with probabilities close to unity. The reliability and robustness of our classification suggest using a mix of preference theories in applied economic modeling.
dc.language.iso
en
dc.publisher
University of Zurich, Institute for Empirical Research in Economics
dc.subject
Individual Risk Taking Behavior
dc.subject
Latent Heterogeneity
dc.subject
Finite Mixture Regression Models
dc.subject
Prospect Theory
dc.title
Risk and Rationality
dc.type
Working Paper
ethz.title.subtitle
Uncovering Heterogeneity in Probability Distortion
ethz.journal.title
Working paper series
ethz.journal.issue
414
ethz.size
55 p.
ethz.identifier.nebis
004372572
ethz.publication.place
Zurich
ethz.publication.status
published
ethz.date.deposited
2017-06-08T22:17:52Z
ethz.source
ECIT
ethz.identifier.importid
imp59364c6b4b57c58907
ethz.ecitpid
pub:28698
ethz.eth
yes
ethz.availability
Metadata only
ethz.rosetta.installDate
2017-07-17T08:11:31Z
ethz.rosetta.lastUpdated
2017-07-17T08:11:31Z
ethz.rosetta.versionExported
true
ethz.COinS
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