Holdings: Third-order risk preferences and cumulative prospect theory

Third-order risk preferences and cumulative prospect theory: an experimental study

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Bibliographic Details
Main Author:	Borß, Michael (Author)
Format:	Thesis Book
Language:	English
Published:	Lohmar Eul Verlag [März 2017]
Edition:	1. Auflage
Series:	Reihe: Katallaktik Band 9
Subjects:	Entscheidungstheorie Risikotheorie Prospect-Theorie Experimental Study Risk Third-Order Hochschulschrift
Online Access:	Inhaltsverzeichnis Inhaltsverzeichnis
Physical Description:	XXVI, 221 Seiten Diagramme 21 cm, 360 g
ISBN:	9783844105001 384410500X

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MARC


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Record in the Search Index

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adam_text	C ONTENTS LIST OF FIGURES............................................................................................................ XIII LIST OF T A B LE S ............................................................................................................ XV LIST OF A BBREVIATIONS................................................................................................ XIX LIST OF S YM BOLS......................................................................................................... XXIII 1 INTRODUCTION 1 2 DESCRIPTION OF DISTRIBUTIONS AND PREFERENCES 7 2.1 STATISTICAL DESCRIPTION OF DISTRIBUTIONS........................................................... 7 2.1.1 STATISTICAL M OM ENTS............................................................................. 8 2.1.2 A DISCUSSION OF SKEWNESS MEASURES .................................................... 11 2.1.3 STATISTICAL PROPERTIES OF FINANCIAL A S S E TS ........................................... 12 2.1.4 STOCHASTIC DOMINANCE.......................................................................... 14 2.2 UTILITY THEORETIC FOUNDATIONS .......................................................................... 18 2.2.1 EXPECTED UTILITY T H E O RY .................................................................... 18 2.2.2 ORIGINAL PROSPECT THEORY ................................................................. 24 2.2.3 CUMULATIVE PROSPECT T HEORY.............................................................. 28 2.2.4 PARAMETERIZATION OF CUMULATIVE PROSPECT T H E O R Y .......................... 32 3 THIRD-ORDER RISK PREFERENCES 37 3.1 PREFERENCES FOR SKEW NESS................................................................................ 37 3.1.1 SKEWNESS PREFERENCES IN EUT AND C P T ........................................... 37 3.1.2 SKEWNESS PREFERENCES IN PORTFOLIO THEORY AND ASSET PRICING ............... 44 3.1.3 SKEWNESS SEEKING IN INDIVIDUAL DECISION MAKING ............................ 49 3.1.4 EXPERIMENTAL EVIDENCE FOR SKEWNESS PREFEREN CES ............................. 52 3.2 PREFERENCES FOR P RU D E N C E ................................................................................ 55 3.2.1 PRUDENCE PREFERENCES WITHIN EXPECTED UTILITY T H E O RY ................... 56 3.2.2 PRUDENCE PREFERENCES BEYOND EXPECTED UTILITY THEORY ................ 62 3.2.3 EMPIRICAL EVIDENCE FOR PRUDENCE PREFEREN CES .................................. 64 3.2.4 EXPERIMENTAL EVIDENCE FOR PRUDENCE PREFERENCES ............................ 66 4 EXPERIMENTAL DESIGN AND PROCEDURE 71 4.1 EXPERIMENTS AS EMPIRICAL METHOD OF RESEARCH .............................................. 71 4.2 IMPLEMENTATION OF THE RESEARCH P R O JE C T........................................................ 73 4.3 STAGE S KEW NESS................................................................................................ 75 4.4 STAGE P RU D E N C E ................................................................................................ 77 4.5 STAGE CERTAINTY E QU IV ALEN TS .......................................................................... 82 4.5.1 RESPONSE M O D E .................................................................................... 86 4.5.2 MECHANISM .......................................................................................... 88 4.5.3 INCENTIVE COM PATIBILITY....................................................................... 91 4.6 EXPERIMENTAL P RO C E D U RE ................................................................................ 94 4.7 RECRUITING OF SUBJECTS....................................................................................... 97 5 EXPERIMENTAL RESULTS 99 5.1 DESCRIPTION OF EXPERIMENTAL SESSIONS AND SUBJECT P O O L ............................... 99 5.2 THIRD-ORDER RISK P REFERENCES .......................................................................... 101 5.2.1 PRELIMINARY R E S U LTS ............................................................................. 102 5.2.2 ANALYSIS OF PREFERENCE FOR SK E W N E SS.................................................. 106 5.2.2.1 SUBGROUPS ............................................................................. 106 5.2.2.2 IMPACT OF THE DEGREE OF SK EW N ESS ..................................... 108 5.2.2.3 BINARY CHOICE M O D E L........................................................... 109 5.2.2.4 IMPACT OF DECISION T I M E ..................................................... 117 5.2.3 ANALYSIS OF PRUDENT BEHAVIOR.............................................................. 120 5.2.3.1 SUBGROUPS.............................................................................. 120 5.2.3.2 IMPACT OF DEGREE OF SKEWNESS OF THE ZERO-MEAN RISK . . . 121 5.2.3.3 BINARY CHOICE M ODELS ........................................................... 123 5.2.3.4 IMPACT OF DECISION T I M E ...................................................... 127 5.3 STAGE CERTAINTY E QUIVALENTS.......................................................................... 129 5.3.1 MAXIMUM LIKELIHOOD APPROACH TO ESTIMATE RISK PARAMETERS .... 130 5.3.2 ESTIMATION OF RISK PREFERENCES WITHIN E U T ..................................... 131 5.3.3 ESTIMATION OF RISK PREFERENCES WITHIN C P T ..................................... 133 5.4 WITHIN SUBJECT ANALYSIS ................................................................................... 140 5.4.1 THIRD-ORDER RISK PREFERENCES AND E U T .............................................. 140 5.4.2 THIRD-ORDER RISK PREFERENCES AND C P T .............................................. 142 6 CONCLUSION 151 A APPENDIX 163 A.L STATISTICAL PROPERTIES OF ASSET CLASSES.............................................................. 163 A.2 DIVERGENCE OF STOCHASTIC DOMINANCE AND STATISTICAL M O M E N TS ................... 164 A 3 ILLUSTRATIVE PROBABILITY WEIGHTING FUNCTION IN ORIGINAL PROSPECT THEORY . . 164 A.4 HARA UTILITY FUNCTIONS: DERIVATIVES AND P R O P E R TIE S .................................. 165 A.5 OVER-/UNDERWEIGHTING FOLLOWING THE DIFFERENT PARAMETERIZATIONS OF THE PROB ABILITY WEIGHTING F U N C TIO N S .......................................................................... 167 A.6 STATISTICAL PROPERTIES OF BINARY LO TTERIES....................................................... 168 A.7 EXAMPLE OF AN INCREASE IN DOWNSIDE RISK ..................................................... 170 A.8 EXEMPLARY UTILITY FUNCTIONS OF PRUDENT AND NON-PRUDENT INDIVIDUALS . . . 171 A.9 CHARACTERISTICS OF AGGREGATED ES LOTTERIES...................................................... 173 A. 10 INDIVIDUAL ORDER OF STAGES................................................................................ 174 A. 11 INSTRUCTIONS (ORIGINAL VERSION)....................................................................... 175 A. 12 SOCIO-ECONOMIC QUESTIONNAIRE (ORIGINAL V E RS IO N ) ........................................ 180 A.13 INDIVIDUAL REMUNERATION PAID TO SU B JE C TS ...................................................... 182 A. 14 SOCIO-ECONOMIC CHARACTERISTICS OF THE SUBJECT P O O L ..................................... 183 A. 15 COMPARISON OF EXPERIMENTAL SESSIONS WITH PRECEDING TEST SESSION 186 A.16 KOLMOGOROV-SMIRNOV TESTS FOR RANDOM DECISION P RO CESSES ......................... 189 A. 17 RIGHT-SKEWED/PRUDENT CHOICES PER LO TTE RY ..................................................... 191 A. 18 LOGISTIC MODEL FOR RIGHT-SKEWED C H O ICE S........................................................ 192 A. 19 AVERAGE MARGINAL EFFECTS ON RIGHT-SKEWED C H O IC E S ..................................... 193 A.20 LOGISTIC MODEL REGRESSIONS FOR PRUDENT C H O IC E S ........................................... 194 A.21 AVERAGE MARGINAL EFFECTS ON PRUDENT CHOICES............................................... 195 A.22 INDIVIDUAL EUT PARAMETERS BASED ON POWER UTILITY FUNCTION...................... 196 A.23 INDIVIDUAL CPT PARAMETERS BASED ON TK (1992) ........................................ 197 A.24 INDIVIDUAL CPT PARAMETERS BASED ON PRELEC ( 1 9 9 8 ) .................................. 199 A.25 CPT VALUATION OF LOTTERIES IN SKEWNESS S TA G E ............................................... 201 A.26 CPT VALUATION OF LOTTERIES IN PRUDENCE S TA G E .............................................. 202 A.27 ACTUAL AND IMPLIED CHOICES BY INDIVIDUAL CPT P A RA M E TE RS ...................... 203 A.28 ACTUAL AND IMPLIED CHOICES BY INDIVIDUAL CPT PARAMETERS PER SUBJECT . . 204
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author	Borß, Michael
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spelling	Borß, Michael Verfasser (DE-588)1141689898 aut Third-order risk preferences and cumulative prospect theory an experimental study Dr. Michael Borß 1. Auflage Lohmar Eul Verlag [März 2017] XXVI, 221 Seiten Diagramme 21 cm, 360 g txt rdacontent n rdamedia nc rdacarrier Reihe: Katallaktik Band 9 Dissertation WHU - Otto Beisheim School of Management, Vallendar 2015 Entscheidungstheorie (DE-588)4138606-1 gnd rswk-swf Risikotheorie (DE-588)4135592-1 gnd rswk-swf Prospect-Theorie (DE-588)4399211-0 gnd rswk-swf Experimental Study Risk Third-Order (DE-588)4113937-9 Hochschulschrift gnd-content Prospect-Theorie (DE-588)4399211-0 s Entscheidungstheorie (DE-588)4138606-1 s Risikotheorie (DE-588)4135592-1 s DE-604 Josef Eul Verlag GmbH (DE-588)1065867972 pbl B:DE-101 application/pdf http://d-nb.info/1129115798/04 Inhaltsverzeichnis DNB Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=029887393&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis
spellingShingle	Borß, Michael Third-order risk preferences and cumulative prospect theory an experimental study Entscheidungstheorie (DE-588)4138606-1 gnd Risikotheorie (DE-588)4135592-1 gnd Prospect-Theorie (DE-588)4399211-0 gnd
subject_GND	(DE-588)4138606-1 (DE-588)4135592-1 (DE-588)4399211-0 (DE-588)4113937-9
title	Third-order risk preferences and cumulative prospect theory an experimental study
title_auth	Third-order risk preferences and cumulative prospect theory an experimental study
title_exact_search	Third-order risk preferences and cumulative prospect theory an experimental study
title_full	Third-order risk preferences and cumulative prospect theory an experimental study Dr. Michael Borß
title_fullStr	Third-order risk preferences and cumulative prospect theory an experimental study Dr. Michael Borß
title_full_unstemmed	Third-order risk preferences and cumulative prospect theory an experimental study Dr. Michael Borß
title_short	Third-order risk preferences and cumulative prospect theory
title_sort	third order risk preferences and cumulative prospect theory an experimental study
title_sub	an experimental study
topic	Entscheidungstheorie (DE-588)4138606-1 gnd Risikotheorie (DE-588)4135592-1 gnd Prospect-Theorie (DE-588)4399211-0 gnd
topic_facet	Entscheidungstheorie Risikotheorie Prospect-Theorie Hochschulschrift
url	http://d-nb.info/1129115798/04 http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=029887393&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA
work_keys_str_mv	AT borßmichael thirdorderriskpreferencesandcumulativeprospecttheoryanexperimentalstudy AT josefeulverlaggmbh thirdorderriskpreferencesandcumulativeprospecttheoryanexperimentalstudy

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