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An experimental test of the predictive power of dynamic ambiguity models
Journal of Risk and Uncertainty ( IF 1.3 ) Pub Date : 2019-10-04 , DOI: 10.1007/s11166-019-09311-7
Konstantinos Georgalos

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-prior theories can predict choice only for a very restricted subset of our subjects.

中文翻译:

动态歧义模型的预测能力的实验测试

在本文中,我们报告了一项经济实验的结果,在该实验中,我们研究了收益域中动态歧义模型的预测性能。在透明且不可操作的设备(宾果鼓风机)的帮助下表达歧义,并使用两阶段分配问题,我们收集了数据,这些数据使我们能够估算各种功能的特定参数形式,并比较它们的相对性能。样本拟合。我们的数据表明,对前景理论的动态规范具有最佳的预测能力,紧随其后的是Choquet预期效用,而多个优先理论只能预测我们学科中非常有限的子集的选择。
更新日期:2019-10-04
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