Are People Risk Vulnerable?
通过一项高额金钱激励的受试者内实验，测试人们是否风险脆弱，发现81%的受试者在面临背景风险时选择了更保守的投资组合，且预期效用理论最能解释数据。
We report on a within-subject experiment, with substantial monetary incentives, designed to test whether or not people are risk vulnerable. In the experiment, subjects face the standard portfolio choice problem in which the investor has to allocate part of his wealth between one safe asset and one risky asset. We elicit risk vulnerability by observing each subject's portfolio choice in two different contexts that differ only by the presence or absence of an actuarially neutral background risk. Our main result is that most of the subjects are risk vulnerable: 81% chose a less risky portfolio when exposed to background risk. More precisely, 47% invested a strictly smaller amount in the risky asset, whereas 34% were indifferent. Furthermore, contrasting the predictions provided by competing decision-theoretic models, we conclude that expected utility theory best fits our experimental data. This paper was accepted by Uri Gneezy, behavioral economics.