Measuring Loss Aversion under Ambiguity: A Method to Make Prospect Theory Completely Observable

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• 作者：Mohammed Abdellaoui ; Han Bleichrodt ; Olivier L'Haridon…
• 关键词：Prospect theory ; Loss aversion ; Utility for gains and losses ; Risk ; Ambiguity ; Elicitation methods
• 刊名：Journal of Risk and Uncertainty
• 出版年：2016
• 出版时间：February 2016
• 年：2016
• 卷：52
• 期：1
• 页码：1-20
• 全文大小：680 KB
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• 作者单位：Mohammed Abdellaoui (1)
  Han Bleichrodt (2)
  Olivier L’Haridon (3)
  Dennie van Dolder (4)
  
  1. HEC-Paris GREGHEC-CNRS, 1 Rue de la Libération, F78351, Jouy-en-Josas, France
  2. Erasmus School of Economics, Rotterdam, Netherlands
  3. Crem-Université de Rennes 1 & GREGHEC, Rennes, France
  4. Nottingham School of Economics, University of Nottingham, Nottingham, UK
  
• 刊物类别：Business and Economics
• 刊物主题：Economics
  Economic Theory
  Microeconomics
  Operation Research and Decision Theory
  Environmental Economics
  
• 出版者：Springer Netherlands
• ISSN：1573-0476

文摘

We propose a simple, parameter-free method that, for the first time, makes it possible to completely observe Tversky and Kahneman’s (1992) prospect theory. While methods exist to measure event weighting and the utility for gains and losses separately, there was no method to measure loss aversion under ambiguity. Our method allows this and thereby it can measure prospect theory’s entire utility function. Consequently, we can properly identify properties of utility and perform new tests of prospect theory. We implemented our method in an experiment and obtained support for prospect theory. Utility was concave for gains and convex for losses and there was substantial loss aversion. Both utility and loss aversion were the same for risk and ambiguity, as assumed by prospect theory, and sign-comonotonic trade-off consistency, the central condition of prospect theory, held.