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Measuring risk and time preferences in an integrated framework

(2019) GAMES AND ECONOMIC BEHAVIOR. 115. p.456-469
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Abstract
We investigate time discounting under risk. To this end, we modify a popular multiple price list (MPL) design to elicit time discounting. Structural estimations of model parameters yield several new insights. For one, we find present bias to persist under risk, contrary to some previous evidence from the psychology literature. We further confirm the robustness of inverse-S shaped probability weighting. This is important inasmuch as random choice predicts the opposite shape in our setup. We also show that correcting for probability weighting under risk impacts the assessment of discount rates. Those are systematically underestimated under the commonly used, more restrictive, expected utility. (C) 2019 Elsevier Inc. All rights reserved.
Keywords
Time preferences, Risk preferences, Rank-dependent utility, Present bias, PARAMETER-FREE ELICITATION, UTILITY, CERTAINTY, AVERSION, CHOICE, IMMEDIACY, ANOMALIES, TESTS

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MLA
Abdellaoui, Mohammed, et al. “Measuring Risk and Time Preferences in an Integrated Framework.” GAMES AND ECONOMIC BEHAVIOR, vol. 115, 2019, pp. 456–69.
APA
Abdellaoui, M., Kemel, E., Panin, A., & Vieider, F. (2019). Measuring risk and time preferences in an integrated framework. GAMES AND ECONOMIC BEHAVIOR, 115, 456–469.
Chicago author-date
Abdellaoui, Mohammed, Emmanuel Kemel, Amma Panin, and Ferdinand Vieider. 2019. “Measuring Risk and Time Preferences in an Integrated Framework.” GAMES AND ECONOMIC BEHAVIOR 115: 456–69.
Chicago author-date (all authors)
Abdellaoui, Mohammed, Emmanuel Kemel, Amma Panin, and Ferdinand Vieider. 2019. “Measuring Risk and Time Preferences in an Integrated Framework.” GAMES AND ECONOMIC BEHAVIOR 115: 456–469.
Vancouver
1.
Abdellaoui M, Kemel E, Panin A, Vieider F. Measuring risk and time preferences in an integrated framework. GAMES AND ECONOMIC BEHAVIOR. 2019;115:456–69.
IEEE
[1]
M. Abdellaoui, E. Kemel, A. Panin, and F. Vieider, “Measuring risk and time preferences in an integrated framework,” GAMES AND ECONOMIC BEHAVIOR, vol. 115, pp. 456–469, 2019.
@article{8608373,
  abstract     = {{We investigate time discounting under risk. To this end, we modify a popular multiple price list (MPL) design to elicit time discounting. Structural estimations of model parameters yield several new insights. For one, we find present bias to persist under risk, contrary to some previous evidence from the psychology literature. We further confirm the robustness of inverse-S shaped probability weighting. This is important inasmuch as random choice predicts the opposite shape in our setup. We also show that correcting for probability weighting under risk impacts the assessment of discount rates. Those are systematically underestimated under the commonly used, more restrictive, expected utility. (C) 2019 Elsevier Inc. All rights reserved.}},
  author       = {{Abdellaoui, Mohammed and Kemel, Emmanuel and Panin, Amma and Vieider, Ferdinand}},
  issn         = {{0899-8256}},
  journal      = {{GAMES AND ECONOMIC BEHAVIOR}},
  keywords     = {{Time preferences,Risk preferences,Rank-dependent utility,Present bias,PARAMETER-FREE ELICITATION,UTILITY,CERTAINTY,AVERSION,CHOICE,IMMEDIACY,ANOMALIES,TESTS}},
  language     = {{eng}},
  pages        = {{456--469}},
  title        = {{Measuring risk and time preferences in an integrated framework}},
  url          = {{http://dx.doi.org/10.1016/j.geb.2019.03.001}},
  volume       = {{115}},
  year         = {{2019}},
}

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