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    Rights statement: The final publication is available at Springer via http://dx.doi.org/10.1007/s11166-019-09311-7

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An Experimental Test of the Predictive Power of Dynamic Ambiguity Models

Research output: Contribution to Journal/Magazine › Journal article › peer-review

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An Experimental Test of the Predictive Power of Dynamic Ambiguity Models. / Georgalos, Konstantinos.
In: Journal of Risk and Uncertainty, Vol. 59, No. 1, 04.10.2019, p. 51-83.

Research output: Contribution to Journal/Magazine › Journal article › peer-review

Harvard

Georgalos, K 2019, 'An Experimental Test of the Predictive Power of Dynamic Ambiguity Models', Journal of Risk and Uncertainty, vol. 59, no. 1, pp. 51-83. https://doi.org/10.1007/s11166-019-09311-7

APA

Georgalos, K. (2019). An Experimental Test of the Predictive Power of Dynamic Ambiguity Models. Journal of Risk and Uncertainty, 59(1), 51-83. https://doi.org/10.1007/s11166-019-09311-7

Vancouver

Georgalos K. An Experimental Test of the Predictive Power of Dynamic Ambiguity Models. Journal of Risk and Uncertainty. 2019 Oct 4;59(1):51-83. doi: 10.1007/s11166-019-09311-7

Author

Georgalos, Konstantinos. / An Experimental Test of the Predictive Power of Dynamic Ambiguity Models. In: Journal of Risk and Uncertainty. 2019 ; Vol. 59, No. 1. pp. 51-83.

Bibtex

@article{1c3fc06a55284770aaba05f2b1f01d30,
title = "An Experimental Test of the Predictive Power of Dynamic Ambiguity Models",
abstract = "In this paper we report results from an economic experiment where we investigate the predictive performance of dynamic ambiguity models in the gains domain. Representing ambiguity with the aid of a transparent and non-manipulable device (a Bingo Blower) and using two-stage allocation questions, we gather data that allow us to estimate particular parametric forms of the various functionals and compare their relative performance in terms of out-of-sample fit. Our data show that a dynamic specification of Prospect Theory has the best predictive capacity, closely followed by Choquet Expected Utility, while multiple priors theories can predict choice only for a very restricted subset of our subjects.",
author = "Konstantinos Georgalos",
note = "The final publication is available at Springer via http://dx.doi.org/10.1007/s11166-019-09311-7",
year = "2019",
month = oct,
day = "4",
doi = "10.1007/s11166-019-09311-7",
language = "English",
volume = "59",
pages = "51--83",
journal = "Journal of Risk and Uncertainty",
issn = "0895-5646",
publisher = "Springer",
number = "1",

}

RIS

TY - JOUR

T1 - An Experimental Test of the Predictive Power of Dynamic Ambiguity Models

AU - Georgalos, Konstantinos

N1 - The final publication is available at Springer via http://dx.doi.org/10.1007/s11166-019-09311-7

PY - 2019/10/4

Y1 - 2019/10/4

N2 - In this paper we report results from an economic experiment where we investigate the predictive performance of dynamic ambiguity models in the gains domain. Representing ambiguity with the aid of a transparent and non-manipulable device (a Bingo Blower) and using two-stage allocation questions, we gather data that allow us to estimate particular parametric forms of the various functionals and compare their relative performance in terms of out-of-sample fit. Our data show that a dynamic specification of Prospect Theory has the best predictive capacity, closely followed by Choquet Expected Utility, while multiple priors theories can predict choice only for a very restricted subset of our subjects.

AB - In this paper we report results from an economic experiment where we investigate the predictive performance of dynamic ambiguity models in the gains domain. Representing ambiguity with the aid of a transparent and non-manipulable device (a Bingo Blower) and using two-stage allocation questions, we gather data that allow us to estimate particular parametric forms of the various functionals and compare their relative performance in terms of out-of-sample fit. Our data show that a dynamic specification of Prospect Theory has the best predictive capacity, closely followed by Choquet Expected Utility, while multiple priors theories can predict choice only for a very restricted subset of our subjects.

U2 - 10.1007/s11166-019-09311-7

DO - 10.1007/s11166-019-09311-7

M3 - Journal article

VL - 59

SP - 51

EP - 83

JO - Journal of Risk and Uncertainty

JF - Journal of Risk and Uncertainty

SN - 0895-5646

IS - 1

ER -