Lottery- and survey-based risk attitudes linked through a multichoice elicitation task

Attanasi, G., Georgantzis, N., Rotondi, V. and Vigani, D. (2018) Lottery- and survey-based risk attitudes linked through a multichoice elicitation task. Theory and Decision, 84 (3). pp. 341-372. ISSN 1573-7187 doi: 10.1007/s11238-017-9613-0

Abstract/Summary

We analyze the results from three different risk attitude elicitation methods. First, the broadly used test by Holt and Laury (2002), HL, second, the lottery-panel task by Sabater-Grande and Georgantzis (2002), SG, and third, responses to a survey question on self-assessment of general attitude towards risk (Dohmen et al. 2011). The first and the second task are implemented with real monetary incentives, while the third concerns all domains in life in general. Like in previous studies, the correlation of decisions across tasks is low and usually statistically non-significant. However, when we consider only subjects whose behavior across the panels of the SG task is compatible with constant relative risk aversion (CRRA), the correlation between HL and self-assessed risk attitude becomes significant. Furthermore, the correlation between HL and SG also increases for CRRA-compatible subjects, although it remains statistically non-significant.