Dimmock Stephen G, Kouwenberg Roy, Mitchell Olivia S, Peijnenburg Kim
Nanyang Technological University, Nanyang Business School, Singapore, Singapore.
College of Management, Mahidol University, 69 Vipawadee Rangsit Road, Bangkok 10140, Thailand; Erasmus School of Economics, Erasmus University Rotterdam, Rotterdam, Netherlands.
J Risk Uncertain. 2015 Dec;51(3):219-244. doi: 10.1007/s11166-015-9227-2. Epub 2015 Dec 16.
We develop a tractable method to estimate multiple prior models of decision-making under ambiguity. In a representative sample of the U.S. population, we measure ambiguity attitudes in the gain and loss domains. We find that ambiguity aversion is common for uncertain events of moderate to high likelihood involving gains, but ambiguity seeking prevails for low likelihoods and for losses. We show that choices made under ambiguity in the gain domain are best explained by the α-MaxMin model, with one parameter measuring ambiguity aversion (ambiguity preferences) and a second parameter quantifying the perceived degree of ambiguity (perceptions about ambiguity). The ambiguity aversion parameter α is constant and prior probability sets are asymmetric for low and high likelihood events. The data reject several other models, such as MaxMin and MaxMax, as well as symmetric probability intervals. Ambiguity aversion and the perceived degree of ambiguity are both higher for men and for the college-educated. Ambiguity aversion (but not perceived ambiguity) is also positively related to risk aversion. In the loss domain, we find evidence of reflection, implying that ambiguity aversion for gains tends to reverse into ambiguity seeking for losses. Our model's estimates for preferences and perceptions about ambiguity can be used to analyze the economic and financial implications of such preferences.
我们开发了一种易于处理的方法来估计在模糊性下决策的多个先验模型。在美国人口的代表性样本中，我们测量了收益和损失领域的模糊态度。我们发现，对于涉及收益的中高可能性的不确定事件，模糊厌恶很常见，但对于低可能性事件和损失，模糊寻求占主导。我们表明，收益领域中在模糊性下做出的选择最好由α - 最大最小模型解释，其中一个参数衡量模糊厌恶（模糊偏好），另一个参数量化感知到的模糊程度（对模糊性的认知）。模糊厌恶参数α是恒定的，并且对于低可能性和高可能性事件，先验概率集是不对称的。数据拒绝了其他几个模型，如最大最小和最大最大模型，以及对称概率区间。男性和受过大学教育的人在模糊厌恶和感知到的模糊程度方面都更高。模糊厌恶（但不是感知到的模糊性）也与风险厌恶呈正相关。在损失领域，我们发现了反射的证据，这意味着对收益的模糊厌恶倾向于转变为对损失的模糊寻求。我们模型对模糊性的偏好和认知估计可用于分析此类偏好的经济和金融影响。
