Roy Kouwenberg
Mahidol University
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Using an incentivized survey and a representative sample of investors, we elicit ambiguity attitudes toward a familiar company stock, a local stock index, a foreign stock index, and a crypto currency. We separately estimate ambiguity aversion (ambiguity preferences) and perceived ambiguity levels...
October 3, 2018 - Article
Many investors choose to hold stocks in individual firms, hoping to pick the 'the next Apple,' despite knowing that such investments are riskier than mutual funds. Many individuals appear to assign probabilities to events that differ from the objective likelihood of these events taking place....
We explore the relation between probability weighting and household portfolio underdiversification in a representative household survey, using custom-designed incentivized lotteries. On average, people display Inverse-S shaped probability weighting, overweighting the small probabilities of tail...
We test the relation between ambiguity aversion and five household portfolio choice puzzles: non- participation, low allocations to equity, home-bias, own-company stock ownership, and portfolio under- diversification. In a representative U.S. household survey, we measure ambiguity aversion using...
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