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Digital
Library of the European Council for Modelling and Simulation |
Title: |
Experiments On Risk Perception And Investment
Decisions Of Economic Actors |
Authors: |
Nora Felfoldi-Szucs, Peter Juhasz |
Published in: |
(2017).ECMS 2017 Proceedings
Edited by: Zita Zoltay
Paprika, Péter Horák, Kata Váradi, Péter Tamás Zwierczyk, Ágnes Vidovics-Dancs, János Péter Rádics European Council for Modeling and Simulation. doi:10.7148/2017 ISBN:
978-0-9932440-4-9/ ISBN:
978-0-9932440-5-6 (CD) 31st European Conference on Modelling and Simulation, Budapest, Hungary, May 23rd
– May 26th, 2017 |
Citation
format: |
Nora
Felfoldi-Szucs, Peter Juhasz
(2017). Experiments On Risk Perception And Investment Decisions Of Economic
Actors, ECMS 2017 Proceedings Edited by: Zita Zoltay Paprika, Péter Horák, Kata Váradi, Péter Tamás Zwierczyk, Ágnes Vidovics-Dancs, János Péter Rádics European Council for Modeling and Simulation. doi: 10.7148/2017-0141 |
DOI: |
https://doi.org/10.7148/2017-0141 |
Abstract: |
In
a simple simulated experiment we compare the risk perception and risk taking
of participants to the concept of coherent risk measures. Using a sample of
50 participants the aim of our preliminary research is to test the defined
experimental environment and define the further directions of its
development. Using simulated financial positive homogeneity,
subadditivity and monotonicity
are perceived by the participants. Translation invariance is applied only by
half of the sample. Capital allocation between risky and risk free asset
highly correlates with price changes in the most risk averse group of
participants. The most risk taking part of the sample followed a strategy to
reallocate their gains from risky asset to the risk free one and reorganized
their portfolio less frequently but by larger amounts. The behavior of medium
risk taker/risk averse participants has to be tested
in a more detailed research. |
Full
text: |