Publikace na Fakulta sociálních věd, Matematicko-fyzikální fakulta, Centrum pro ekonomický výzkum a doktorské studium |
2019
Abstrakt
In a standard two-armed bandit setup, this paper shows - counterintuitively - that a more risk-averse decision maker might be more willing to take risky actions. The reason relates to the fact that pulling the risky arm in bandit models produces information on the environment - thereby reducing the risk that a decision maker will face in the future.
This finding gives reason for caution when inferring risk preferences from observed actions: in a bandit setup, observing a greater appetite for risky actions can actually be indicative of more risk aversion, not less. (C) 2018 Elsevier Inc. All rights reserved.