Fast and Simple Adaptive Elicitations: Experimental Test for Probability Weighting

53 Pages Posted: 5 May 2020 Last revised: 6 May 2020

See all articles by Nicolò Bertani

Nicolò Bertani

INSEAD - Decision Sciences

Abdellah Boukhatem

affiliation not provided to SSRN

Enrico Diecidue

INSEAD – Decision Sciences

Patrice Perny

affiliation not provided to SSRN

Paolo Viappiani

affiliation not provided to SSRN

Date Written: February 12, 2020

Abstract

We propose a new adaptive procedure for the measurement of decision models. Our procedure bounds the function of the decision model, sequentially halves the maximal distance between its bounds, and incrementally restricts the feasible space of associated parameters. It relies on approximating splines that improve tractability and descriptiveness, enriching results. It grants concise unsupervised experiments: ten choices on average suffice.

We apply and validate our procedure in an experimental elicitation of the probability weighting function. Our procedure faithfully captures empirical regularities in probability weighting. In addition, it reveals systematic distortions introduced by standard parametric forms, and sheds new light on the pervasiveness of possibility and certainty effects in close proximity to the probability boundaries (i.e. p=0 and p=1).

Keywords: Elicitation, Dual Theory, Probability Weighting Function

JEL Classification: C1

Suggested Citation

Bertani, Nicolò and Boukhatem, Abdellah and Diecidue, Enrico and Perny, Patrice and Viappiani, Paolo, Fast and Simple Adaptive Elicitations: Experimental Test for Probability Weighting (February 12, 2020). Available at SSRN: https://ssrn.com/abstract=3569625 or http://dx.doi.org/10.2139/ssrn.3569625

Nicolò Bertani

INSEAD - Decision Sciences ( email )

INSEAD
Boulevard de Constance
Fontainebleau, 77300
France

HOME PAGE: http://https://www.insead.edu/phd/student-profiles/nicol-bertani

Abdellah Boukhatem

affiliation not provided to SSRN

Enrico Diecidue (Contact Author)

INSEAD – Decision Sciences ( email )

France

Patrice Perny

affiliation not provided to SSRN

Paolo Viappiani

affiliation not provided to SSRN

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