A note on optimal experimentation under risk aversion

0500830 - NHÚ 2020 RIV US eng J - Článek v odborném periodiku
Keller, G. - Novák, Vladimír - Willems, T.
A note on optimal experimentation under risk aversion.
Journal of Economic Theory. Roč. 179, January (2019), s. 476-487. ISSN 0022-0531. E-ISSN 1095-7235
GRANT EU: European Commission(XE) 678081 - INATTENTION
Institucionální podpora: RVO:67985998
Klíčová slova: experimentation * learning * risk aversion
Obor OECD: Economic Theory
Impakt faktor: 1.124, rok: 2019
Způsob publikování: Open access
https://doi.org/10.1016/j.jet.2018.11.006

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.
Trvalý link: http://hdl.handle.net/11104/0292873