A Theoretical and Experimental Appraisal of Five Risk Elicitation Methods
Jena Economic Research Paper No. 2013-009
28 Pages Posted: 20 Feb 2013
Date Written: February 19, 2013
We perform a comparative analysis of five incentivized tasks used to elicit risk preferences. Theoretically, we compare the elicitation methods in terms of completeness of the range of the estimates as well as their precision, the likelihood of triggering loss aversion, and problems arising when multiple choices are required. Using original data from a homogeneous population, we experimentally investigate the distribution of estimated risk preferences, whether they differ by gender, and the complexity of the tasks. We do so using both non-parametric tests and a structural model estimated with maximum likelihood. We find that the estimated risk aversion parameters vary greatly across tasks and that gender differences appear only when the task is more likely to trigger loss aversion.
Keywords: Risk attitudes, Elicitation methods, Experiment
JEL Classification: C81, C91, D81
Suggested Citation: Suggested Citation