Template-Type: ReDIF-Paper 1.0
Title: The Distribution and Relevance of Ambiguity Attitudes
Author-Name: Hans-Martin von Gaudecker
Author-Email: hmgaudecker@uni-bonn.de
Author-Name: Axel Wogrolly
Author-Email:
Author-Name: Christian Zimpelmann
Author-Email: christian.zimpelmann@uni-hamburg.de

Classification-JEL: D81, G41, C38, D14,
Keywords: ambiguity attitudes; temporal stability; domain specificity; cluster analysis;
household portfolio choice

Abstract: This paper analyzes the stability and distribution of ambiguity attitudes using
a broad population sample. Using six waves of data, a structural stochastic choice
model yields three individual-level parameters: ambiguity aversion, ambiguity-induced
insensitivity, and the magnitude of decision errors. These parameters are
heterogeneous across individuals, but stable over time and across the domains
of financial markets and climate change. We summarize heterogeneity using a
discrete classification approach with four types. We label these types as being
near ambiguity neutral, ambiguity-averse, ambiguity-seeking, or erratic. Observed
characteristics vary between groups in plausible ways. Ambiguity types predict risky
asset allocation, even after controlling for covariates.

Note: 
Length: 41
Creation-Date: 2022-02
Revision-Date: 2025-03
File-URL: https://www.crctr224.de/research/discussion-papers/archive/dp272
File-Format: application/pdf
Handle: RePEc:bon:boncrc:CRCTR224_2022_272v3