Aversión al riesgo al tomar decisiones económicas, efecto certeza y estimación de probabilidades
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Resumen
se ha observado empíricamente que la violación de los principios de la teoría de la utilidad se produce con frecuencia en la toma de decisiones en entornos de riesgo. Esto llevó a la formulación de la teoría de las perspectivas en la que, además de tener en cuenta la diferente consideración de las pérdidas y las ganancias, así como la postura ante el riesgo de los decisores, mostrando aversión por el riesgo en las ganancias y amor por el riesgo en las pérdidas, se enmarca el efecto certeza. Según el efecto certeza, los decisores tienen tendencia a infravalorar los pagos que son meramente probables, en comparación con aquellos que se obtienen con certeza. Allais mostró la irracionalidad que se produce en la toma de decisiones en este contexto. Por otro lado, para tomar decisiones arriesgadas, es necesario conocer cómo funcionan las probabilidades. Con el objetivo de determinar las relaciones existentes entre la aversión al riesgo, el efecto certeza y el conocimiento básico dela teoría de las probabilidades, se diseñó un estudio experimental en el que se constató, utilizando una formulación basada en la paradoja de Allais, que quienes tienen mayores conocimientos de los principios de la probabilidad muestran una mayor aversión al riesgo, pero el hecho de incurrir en el efecto certeza, sin embargo, es una circunstancia que no se ve afectada significativamente por dicho conocimiento.
Palabras Clave
Racionalidad, teoría de la decisión, aversión al riesgo, economía conductual, experimento, paradoja de Allais, efecto certeza, teoría de las perspectivas decision theory, rationality, prospect theory, risk aversion, behavioral economics, experiment, Allais paradox, certainly effect
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Babcock, B. A. (2015). Using cumulative prospect theory to explain anomalous crop insurance coverage choice. American Journal of Agricultural Economics, 97(5), 1371-1384. https://doi.org/10.1093/ajae/aav032
Barberis, N. C. (2013). Thirty years of Prospect Theory in economics: A review and assessment. The Journal of Economic Perspectives: A Journal of the American Economic Association, 27(1), 173-196. https://doi.org/10.1257/jep.27.1.173
Barberis, N., Mukherjee, A. y Wang, B. (2016). Prospect theory and stock returns: An empirical test. The review of financial studies, 29(11), 3068-3107. https://doi.org/10.1093/rfs/hhw049
Bendickson, J., Solomon, S. J. y Fang, X. (2017). Prospect theory: The impact of relative distances. Journal of Managerial Issues, 29(2), 155-168. http://bit.ly/3ktEo2x
Berlinger, E. (2015). Risk appetite. Penzugyi Szemle/Public Finance Quarterly-Journal of Public Finance, 60(1), 49-62.
Bernoulli, D. (1738). Specimen theoriae novae de mensura sortis. Commentarii Academiae Scientiarum Imperalis Petropolitanae, 5, 175-192.
Bernoulli, D. (1954). Exposition of a new theory on the measurement of risk. Econometrica: Journal of the Econometric Society, 22(1), 23. https://doi.org/10.2307/1909829
Bhootra, A. y Hur, J. (2015). High idiosyncratic volatility and low returns: A prospect theory explanation. Financial Management, 44(2), 295-322. https://doi.org/10.1111/fima.12057
Bruhin, A., Manai, M. y Santos-Pinto, L. (2022). Risk and rationality: The relative importance of probability weighting and choice set dependence. Journal of Risk and Uncertainty, 65(2), 139-184. https://doi.org/10.1007/s11166-022-09392-x
Buisson, F. (2016). Prospect theory and loss aversion in the housing market. The Journal of Real Estate Research, 38(2), 229-250. https://doi.org/10.1080/10835547.2016.12091444
Camerer, C. F. (1989). An experimental test of several generalized utility theories. Journal of Risk and Uncertainty, 2(1), 61-104. https://doi.org/10.1007/bf00055711
Chávez-Santana, L., Ruiz-Mafé, C. y Curras-Pérez, R. (2021). Efectos de los usos y gratificaciones de Facebook en la elección de destinos turísticos. Revista de Ciencias Sociales, 3, 120-138. https://doi.org/10.31876/rcs.v27i3.36760
Clark, W. A. V. y Lisowski, W. (2017). Prospect theory and the decision to move or stay. Proceedings of the National Academy of Sciences of the United States of America, 114(36), E7432-E7440. https://doi.org/10.1073/pnas.1708505114
Ebert, S. y Strack, P. (2015). Until the Bitter End: On prospect theory in a dynamic context. American Economic Review, 105(4), 1618-1633. https://doi.org/10.1257/aer.20130896
Estrin, S., Mickiewicz, T. y Rebmann, A. (2017). Prospect theory and the effects of bankruptcy laws on entrepreneurial aspirations. Small Business Economics, 48(4), 977-997. https://doi.org/10.1007/s11187-016-9810-1
Feng, H. y He, K. (2017). China’s institutional challenges to the international order. Strategic Studies Quarterly, 11(4), 23-49. http://www.jstor.org/stable/26271633
Grishina, N., Lucas, C. A. y Date, P. (2017). Prospect theory-based portfolio optimization: an empirical study and analysis using intelligent algorithms. Quantitative Finance, 17(3), 353-367. https://doi.org/10.1080/14697688.2016.1149611
Holmes, R. M., Jr, Bromiley, P., Devers, C. E., Holcomb, T. R. y McGuire, J. B. (2011). Management theory applications of prospect theory: Accomplishments, challenges, and opportunities. Journal of Management, 37(4), 1069-1107. https://doi.org/10.1177/0149206310394863
Kahneman, D. (2011). Thinking, fast and slow. Penguin Books.
Kahneman, D., Slovic, P. y Tversky, A. (eds.) (1982). Judgment under uncertainty: Heuristics and biases. Cambridge University Press.
Kahneman, D. y Tversky, A. (1979). Prospect theory: An analysis of decision under risk. Econometrica: Journal of the Econometric Society, 47(2), 263. https://doi.org/10.2307/1914185
Kusev, P., van Schaik, P., Martin, R., Hall, L. Y Johansson, P. (2020). Preference reversals during risk elicitation. Journal of Experimental Psychology General, 149(3), 585-589. https://doi.org/10.1037/xge0000655
Kusev, P., van Schaik, P., Teal, J., Martin, R., Hall, L. y Johansson, P. (2022). How false feedback influences decision-makers risk preferences. Journal of Behavioral Decision Making, 35(5). https://doi.org/10.1002/bdm.2278
Linde, J. y Vis, B. (2017). Do politicians take risks like the rest of us? An experimental test of prospect theory under MPs. Political Psychology, 38(1), 101-117. https://doi.org/10.1111/pops.12335
Long, X. y Nasiry, J. (2015). Prospect theory explains newsvendor behavior: The role of reference points. Management Science, 61(12), 3009-3012. https://doi.org/10.1287/mnsc.2014.2050
López, R., Calvo, J. L. y De la Torre, I. (2022). Teoría de juegos conductual y psicológica: una revisión sistemática. Retos Revista de Ciencias de la Administración y Economía, 12(24), 308-328. https://doi.org/10.17163/ret.n24.2022.07
López, R., Calvo, J. L. y De la Torre, I. (2023). Relación entre personalidad y toma de decisiones en los juegos económicos. Revista Venezolana de Gerencia, 28(101), 11-28. https://doi.org/10.52080/rvgluz.28.101.2
Machina, M. J. (1987). Choice under uncertainty: Problems solved and unsolved. The Journal of Economic Perspectives: A Journal of the American Economic Association, 1(1), 121-154. https://doi.org/10.1257/jep.1.1.121
Merigó, J. M., Rocafort, A. y Aznar-Alarcón, J. P. (2016). Bibliometric overview of business & economics research. Journal of Business Economics and Management, 17(3), 397-413. https://doi.org/10.3846/16111699.2013.807868
Morrison, P. y Clark, W. A. V. (2016). Loss aversion and duration of residence. Demographic Research, 35, 1079-1100. https://doi.org/10.4054/demres.2016.35.36
Niv-Solomon, A. (2016). When risky decisions are not surprising: An application of prospect theory to the Israeli war decision in 2006. Cooperation and Conflict, 51(4), 484-503. https://doi.org/10.1177/0010836716640837
Pérez-Martínez, A. y Rodríguez-Fernández, A. (2022). Economía conductual: su influencia en la predicción de resultados deportivos. Retos Revista de Ciencias de la Administración y Economía, 12(23), 125-138. https://doi.org/10.17163/ret.n23.2022.08
Rieger, M. O. y Wang, M. (2006). Cumulative prospect theory and the St. Petersburg paradox. Economic Theory, 28(3), 665-679. https://doi.org/10.1007/s00199-005-0641-6
Schmidt, U. (2016). Insurance demand under prospect theory: A graphical analysis. The Journal of Risk and Insurance, 83(1), 77-89. http://www.jstor.org/stable/43998253
Slovic, P. y Tversky, A. (1974). Who accepts Savages axiom? Behavioral Science, 19(6), 368-373. https://doi.org/10.1002/bs.3830190603
Starmer, C. (2000). Developments in non-expected utility theory: The hunt for a descriptive theory of choice under risk. Journal of Economic Literature, 38(2), 332-382. https://doi.org/10.1257/jel.38.2.332
Stein, J. G. (2017). The micro-foundations of international relations theory: Psychology and behavioral economics. International Organization, 71(S1), S249-S263. https://doi.org/10.1017/s0020818316000436
Tversky, A. y Kahneman, D. (1986). Rational choice and the framing of decisions. The Journal of Business, 59(S4), S251. https://doi.org/10.1086/296365
Tversky, A. y Kahneman, D. (1991). Loss aversion in riskless choice: A reference dependent model. Quarterly Journal of Economics, 107(4). https://bit.ly/3md3QK1
Tversky, A. y Kahneman, D. (1992). Advances in prospect theory: Cumulative representation of uncertainty. Journal of Risk and Uncertainty, 5(4), 297-323. https://doi.org/10.1007/bf00122574
Von Neumann, J. y Morgenstern, O. (1944). Theory of games and economic behavior. Princeton University Press.
Wakker, P. P. (2010). Prospect theory for risk and ambiguity. Cambridge University Press.
Babcock, B. A. (2015). Using cumulative prospect theory to explain anomalous crop insurance coverage choice. American Journal of Agricultural Economics, 97(5), 1371-1384. https://doi.org/10.1093/ajae/aav032
Barberis, N. C. (2013). Thirty years of Prospect Theory in economics: A review and assessment. The Journal of Economic Perspectives: A Journal of the American Economic Association, 27(1), 173-196. https://doi.org/10.1257/jep.27.1.173
Barberis, N., Mukherjee, A. y Wang, B. (2016). Prospect theory and stock returns: An empirical test. The review of financial studies, 29(11), 3068-3107. https://doi.org/10.1093/rfs/hhw049
Bendickson, J., Solomon, S. J. y Fang, X. (2017). Prospect theory: The impact of relative distances. Journal of Managerial Issues, 29(2), 155-168. http://bit.ly/3ktEo2x
Berlinger, E. (2015). Risk appetite. Penzugyi Szemle/Public Finance Quarterly-Journal of Public Finance, 60(1), 49-62.
Bernoulli, D. (1738). Specimen theoriae novae de mensura sortis. Commentarii Academiae Scientiarum Imperalis Petropolitanae, 5, 175-192.
Bernoulli, D. (1954). Exposition of a new theory on the measurement of risk. Econometrica: Journal of the Econometric Society, 22(1), 23. https://doi.org/10.2307/1909829
Bhootra, A. y Hur, J. (2015). High idiosyncratic volatility and low returns: A prospect theory explanation. Financial Management, 44(2), 295-322. https://doi.org/10.1111/fima.12057
Bruhin, A., Manai, M. y Santos-Pinto, L. (2022). Risk and rationality: The relative importance of probability weighting and choice set dependence. Journal of Risk and Uncertainty, 65(2), 139-184. https://doi.org/10.1007/s11166-022-09392-x
Buisson, F. (2016). Prospect theory and loss aversion in the housing market. The Journal of Real Estate Research, 38(2), 229-250. https://doi.org/10.1080/10835547.2016.12091444
Camerer, C. F. (1989). An experimental test of several generalized utility theories. Journal of Risk and Uncertainty, 2(1), 61-104. https://doi.org/10.1007/bf00055711
Chávez-Santana, L., Ruiz-Mafé, C. y Curras-Pérez, R. (2021). Efectos de los usos y gratificaciones de Facebook en la elección de destinos turísticos. Revista de Ciencias Sociales, 3, 120-138. https://doi.org/10.31876/rcs.v27i3.36760
Clark, W. A. V. y Lisowski, W. (2017). Prospect theory and the decision to move or stay. Proceedings of the National Academy of Sciences of the United States of America, 114(36), E7432-E7440. https://doi.org/10.1073/pnas.1708505114
Ebert, S. y Strack, P. (2015). Until the Bitter End: On prospect theory in a dynamic context. American Economic Review, 105(4), 1618-1633. https://doi.org/10.1257/aer.20130896
Estrin, S., Mickiewicz, T. y Rebmann, A. (2017). Prospect theory and the effects of bankruptcy laws on entrepreneurial aspirations. Small Business Economics, 48(4), 977-997. https://doi.org/10.1007/s11187-016-9810-1
Feng, H. y He, K. (2017). China’s institutional challenges to the international order. Strategic Studies Quarterly, 11(4), 23-49. http://www.jstor.org/stable/26271633
Grishina, N., Lucas, C. A. y Date, P. (2017). Prospect theory-based portfolio optimization: an empirical study and analysis using intelligent algorithms. Quantitative Finance, 17(3), 353-367. https://doi.org/10.1080/14697688.2016.1149611
Holmes, R. M., Jr, Bromiley, P., Devers, C. E., Holcomb, T. R. y McGuire, J. B. (2011). Management theory applications of prospect theory: Accomplishments, challenges, and opportunities. Journal of Management, 37(4), 1069-1107. https://doi.org/10.1177/0149206310394863
Kahneman, D. (2011). Thinking, fast and slow. Penguin Books.
Kahneman, D., Slovic, P. y Tversky, A. (eds.) (1982). Judgment under uncertainty: Heuristics and biases. Cambridge University Press.
Kahneman, D. y Tversky, A. (1979). Prospect theory: An analysis of decision under risk. Econometrica: Journal of the Econometric Society, 47(2), 263. https://doi.org/10.2307/1914185
Kusev, P., van Schaik, P., Martin, R., Hall, L. Y Johansson, P. (2020). Preference reversals during risk elicitation. Journal of Experimental Psychology General, 149(3), 585-589. https://doi.org/10.1037/xge0000655
Kusev, P., van Schaik, P., Teal, J., Martin, R., Hall, L. y Johansson, P. (2022). How false feedback influences decision-makers risk preferences. Journal of Behavioral Decision Making, 35(5). https://doi.org/10.1002/bdm.2278
Linde, J. y Vis, B. (2017). Do politicians take risks like the rest of us? An experimental test of prospect theory under MPs. Political Psychology, 38(1), 101-117. https://doi.org/10.1111/pops.12335
Long, X. y Nasiry, J. (2015). Prospect theory explains newsvendor behavior: The role of reference points. Management Science, 61(12), 3009-3012. https://doi.org/10.1287/mnsc.2014.2050
López, R., Calvo, J. L. y De la Torre, I. (2022). Teoría de juegos conductual y psicológica: una revisión sistemática. Retos Revista de Ciencias de la Administración y Economía, 12(24), 308-328. https://doi.org/10.17163/ret.n24.2022.07
López, R., Calvo, J. L. y De la Torre, I. (2023). Relación entre personalidad y toma de decisiones en los juegos económicos. Revista Venezolana de Gerencia, 28(101), 11-28. https://doi.org/10.52080/rvgluz.28.101.2
Machina, M. J. (1987). Choice under uncertainty: Problems solved and unsolved. The Journal of Economic Perspectives: A Journal of the American Economic Association, 1(1), 121-154. https://doi.org/10.1257/jep.1.1.121
Merigó, J. M., Rocafort, A. y Aznar-Alarcón, J. P. (2016). Bibliometric overview of business & economics research. Journal of Business Economics and Management, 17(3), 397-413. https://doi.org/10.3846/16111699.2013.807868
Morrison, P. y Clark, W. A. V. (2016). Loss aversion and duration of residence. Demographic Research, 35, 1079-1100. https://doi.org/10.4054/demres.2016.35.36
Niv-Solomon, A. (2016). When risky decisions are not surprising: An application of prospect theory to the Israeli war decision in 2006. Cooperation and Conflict, 51(4), 484-503. https://doi.org/10.1177/0010836716640837
Pérez-Martínez, A. y Rodríguez-Fernández, A. (2022). Economía conductual: su influencia en la predicción de resultados deportivos. Retos Revista de Ciencias de la Administración y Economía, 12(23), 125-138. https://doi.org/10.17163/ret.n23.2022.08
Rieger, M. O. y Wang, M. (2006). Cumulative prospect theory and the St. Petersburg paradox. Economic Theory, 28(3), 665-679. https://doi.org/10.1007/s00199-005-0641-6
Schmidt, U. (2016). Insurance demand under prospect theory: A graphical analysis. The Journal of Risk and Insurance, 83(1), 77-89. http://www.jstor.org/stable/43998253
Slovic, P. y Tversky, A. (1974). Who accepts Savages axiom? Behavioral Science, 19(6), 368-373. https://doi.org/10.1002/bs.3830190603
Starmer, C. (2000). Developments in non-expected utility theory: The hunt for a descriptive theory of choice under risk. Journal of Economic Literature, 38(2), 332-382. https://doi.org/10.1257/jel.38.2.332
Stein, J. G. (2017). The micro-foundations of international relations theory: Psychology and behavioral economics. International Organization, 71(S1), S249-S263. https://doi.org/10.1017/s0020818316000436
Tversky, A. y Kahneman, D. (1986). Rational choice and the framing of decisions. The Journal of Business, 59(S4), S251. https://doi.org/10.1086/296365
Tversky, A. y Kahneman, D. (1991). Loss aversion in riskless choice: A reference dependent model. Quarterly Journal of Economics, 107(4). https://bit.ly/3md3QK1
Tversky, A. y Kahneman, D. (1992). Advances in prospect theory: Cumulative representation of uncertainty. Journal of Risk and Uncertainty, 5(4), 297-323. https://doi.org/10.1007/bf00122574
Von Neumann, J. y Morgenstern, O. (1944). Theory of games and economic behavior. Princeton University Press.
Wakker, P. P. (2010). Prospect theory for risk and ambiguity. Cambridge University Press.
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abr 25, 2023
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