An experimental investigation of imprecision attitude and its relation with risk attitude and impatience

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Working paper
Michèle Cohen, Jean-Marc Tallon and Jean-Christophe Vergnaud
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Maison des Sciences Économiques
We report in this paper the result of three experiments on risk, ambiguity and time atti- tude. The first two differed by the population considered (students vs. general population) while the third one used a different protocol and concerned students and portfolio managers. We find quite a lot of heterogeneity at the individual level. Of principal interest was the elicitation of risk, time and ambiguity attitudes and the relationship among these (model free) measures. We find that on the student population, there is essentially no correlation. A non negligible fraction of the population behaves in an extremely cautious manner in the risk and ambiguity domain. When we drop this population from the sample, the correla- tion between our measures is also non significant. We also raise three questions linked to measurement of ambiguity attitudes that come out from our data sets.
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