Séminaires

Aversion to risk of regret and preference for positively skewed risks

Economie et Sciences de la décision

Intervenant : Christian Gollier
TSE

16 mars 2017 - T017 - De 11h00 à 12h00

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We assume that the ex-post utility of an agent facing a menu of lotteries depends upon the actual payoff together with its forgone best alternative, thereby allowing for the ex-post emotion of regret. An increase in the risk of regret is obtained when the actual payoff and its forgone best alternative are statistically less concordant in the sense of Tchen (1980). The aversion to any such risk of regret is thus equivalent to the supermodularity of the bivariate utility function. We show that more regret-risk-averse agents are more willing to choose the risky act in a one-risky-one-safe menu, in particular when the payoff of the risky choice is highly skewed. This is compatible with the "possibility effect" that is well documented in prospect theory. Symmetrically, we define the aversion to elation-risk that can prevail when the ex-post utility is alternatively sensitive to the forgone worst payoff. We show that elation-risk-seeking is compatible with the "certainty effect". We finally show that regret-risk-averse and elation-risk-seeking people behave as if they had rank-dependent utility preferences with an inverse-S shaped probability weighting function that reproduces estimates existing in the literature.

Titre : TBA

Economie et Sciences de la décision

Intervenant : Claire Lelarge
Paris Sud

10 septembre 2019 - HEC Campus


Titre : TBA

Economie et Sciences de la décision

Intervenant : Larry Samuelson
Yale

13 juin 2019 - HEC Campus


Titre : TBA

Economie et Sciences de la décision

Intervenant : Gaetano Gaballo
Banque de France & PSE

19 mars 2019 - HEC Campus


Titre : TBA

Economie et Sciences de la décision

Intervenant : Diego Puga
CEMFI

12 mars 2019 - HEC Campus


Titre : TBA

Economie et Sciences de la décision

Intervenant : Daniel Chen
Toulouse School of Economics

21 février 2019 - HEC Campus



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