Temporal Stability of Cumulative Prospect Theory
| Autor: | Hongming Zhao, Hong Il Yoo, Morten I. Lau |
|---|---|
| Rok vydání: | 2019 |
| Předmět: |
Structure (mathematical logic)
History education.field_of_study Cumulative prospect theory Polymers and Plastics Computer science Population Stability (probability) Industrial and Manufacturing Engineering Correlation Loss aversion Econometrics Random coefficient model Business and International Management Set (psychology) education |
| Zdroj: | SSRN Electronic Journal. |
| ISSN: | 1556-5068 |
| DOI: | 10.2139/ssrn.3458886 |
| Popis: | We evaluate the hypothesis of temporal stability in risk preferences using two recent data sets from longitudinal lab experiments. Both experiments included a combination of decision tasks that allows one to identify a full set of structural parameters characterizing risk preferences under Cumulative Prospect Theory (CPT), including loss aversion. We consider temporal stability in those structural parameters at both population and individual levels. The population-level stability pertains to whether the distribution of risk preferences across individuals in the subject population remains stable over time. The individual-level stability pertains to within-individual correlation in risk preferences over time. We embed the CPT structure in a random coefficient model that allows us to evaluate temporal stability at both levels in a coherent manner, without having to switch between different sets of models to draw inferences at a specific level. |
| Databáze: | OpenAIRE |
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