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Measuring Ambiguity Aversion: A Systematic Experimental Approach
(2014-06-20)
This paper provides a systematic analysis of individual attitudes towards ambiguity, based on laboratory experiments. The design of the analysis allows to capture individual behavior across various levels of ambiguity, ...
Peer Effects and Risk Sharing in Experimental Asset Markets
(2015-02-02)
Previous research has documented strong peer effects in risk taking, but little is known about how such social influences affect market outcomes. Since the consequences of social interactions are hard to isolate in financial ...
Optimal Consumption and Portfolio Choice with Loss Aversion
(2016-05-16)
This paper analyses the consumption-investment problem of a loss averse investor equipped with s-shaped utility over consumption relative to a time-varying reference level. Optimal consumption exceeds the reference level ...
Belief Formation and Belief Updating under Ambiguity: Evidence from Experiments
(2019-09-21)
Decisions under ambiguity depend on both the belief regarding possible scenarios and the attitude towards ambiguity. This paper exclusively focuses on beliefs, measured independent from attitudes. We use laboratory experiments ...
Separating the Effects of Beliefs and Attitudes on Pricing under Ambiguity
(2021-03-10)
The pricing of an ambiguous asset, whose cash flow stream is uncertain, may be affected by three factors: the belief regarding the realization likelihood of cash flows, the subjective attitude towards risk, and the attitude ...