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Elicitation non-paramétrique de la fonction d'utilité et de l'aversion aux pertes sous l'hypothèse "prospect theory"

Abstract : This work elicits the utility functions of financial practitioners and measures their loss aversion coefficients under prospect theory (1992) using the parameter-free method of Abdellaoui et al. (2006). The measurements in the field corroborate the latter's measurements in the laboratory regarding the concavity of the utility function for gains and convexity for losses. However, although loss aversion exists in the aggregate, the median practitioner is found to be less loss averse than the median student. Conditions that characterize a real market experience but are difficult to realize in the artificial context of the laboratory may account for the behavioral difference. Among them are the schooling in the assessment of prospects, the volatility of the market and the Wall Street's compensation incentives. An important proviso is that the preferences of the students/practitioners analyzed following another method reflect consistent preferences. The qualitative investigation of the preferences of MBA students using the parameter-free method developed by Baucells and Heukamp (2006) supports the results of Abdellaoui et al.'s (2006) for students. A noteworthy result is the strong tendency to shift from loss aversion to gain seeking for the higher overall probability of gain or the higher probability of maximal gain combined with a limited extreme loss.
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Submitted on : Thursday, December 20, 2007 - 8:00:00 AM
Last modification on : Monday, February 15, 2021 - 10:37:40 AM
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  • HAL Id : pastel-00003225, version 1


Hilda Kammoun. Elicitation non-paramétrique de la fonction d'utilité et de l'aversion aux pertes sous l'hypothèse "prospect theory". Sciences de l'Homme et Société. Arts et Métiers ParisTech, 2007. Français. ⟨NNT : 2007ENAM0025⟩. ⟨pastel-00003225⟩



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