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- W2891179940 abstract "The existing literature on choice under risk suggests that probability weighting and choice set dependence both influence risky choices. However, they have not been tested jointly. We design an incentivized laboratory experiment to assess the relative importance of probability weighting and choice set dependence both non-parametrically and with a structural model. Our design uses binary choices between lotteries that may trigger Allais Paradoxes. To reliably discriminate between probability weighting and choice set dependence, we manipulate the lotteries’ correlation structure while keeping their marginal distributions constant. The non-parametric analysis reveals that probability weighting and choice set dependence jointly play a role in describing aggregate choices. To take potential heterogeneity into account parsimoniously, we estimate a structural model based on a finite mixture approach. The model classifies subjects into three distinct types: a Cumulative Prospect Theory (CPT) type whose choices are primarily driven by probability weighting, a Salience Theory (ST) type whose choices are predominantly driven by choice set dependence, and an Expected Utility Theory (EUT) type. The structural model uncovers substantial heterogeneity in risk preferences: 38% of subjects are CPT-types, 34% are ST-types, and 28% are EUT-types. This classification of subjects into types also predicts preference reversals out-of-sample. Overall, these results show that probability weighting and choice set dependence play a similarly important role in describing risky choices. Beyond the domain of choice under risk, they may also help to improve our understanding of consumer, investor, and judicial choices." @default.
- W2891179940 created "2018-09-27" @default.
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- W2891179940 date "2019-01-01" @default.
- W2891179940 modified "2023-09-24" @default.
- W2891179940 title "Risk and Rationality:The Relative Importance of Probability Weighting and Choice Set Dependence" @default.
- W2891179940 hasPublicationYear "2019" @default.
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