Experiments on portfolio selection:: a comparison between quantile preferences and expected utility decision models

This paper conducts a laboratory experiment to assess the optimal portfolio allocation under quantile preferences (QP) and compares the model predictions with those of a meanvariance (MV) utility function. We estimate the risk aversion coefficients associated to the individuals’ empirical portfolio...

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Autores principales: de Castro, Luciano, Galvao, Antonio F., Yeol Kim, Jeong, Montes-Rojas, Gabriel, Olmo, Jose
Formato: Artículo publishedVersion
Lenguaje:Español
Publicado: Instituto Interdisciplinario de Economía Política (IIEP UBA-CONICET) 2021
Materias:
Elección óptima de cartera
Preferencias por cuantiles
Aversión al riesgo
Teoría de carteras
Optimal asset allocation
Quantile preferences
Portfolio theory
Risk attitude
Predictive ability test
Acceso en línea:https://ojs.economicas.uba.ar/DT-IIEP/article/view/2439
https://repositoriouba.sisbi.uba.ar/gsdl/cgi-bin/library.cgi?a=d&c=dociiep&d=2439_oai
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Repositorio Digital de la Universidad de Buenos Aires (UBA) de Universidad de Buenos Aires
id I28-R145-2439_oai
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spelling I28-R145-2439_oai2026-02-09 de Castro, Luciano Galvao, Antonio F. Yeol Kim, Jeong Montes-Rojas, Gabriel Olmo, Jose 2021-12-01 This paper conducts a laboratory experiment to assess the optimal portfolio allocation under quantile preferences (QP) and compares the model predictions with those of a meanvariance (MV) utility function. We estimate the risk aversion coefficients associated to the individuals’ empirical portfolio choices under the QP and MV theories, and evaluate the relative predictive performance of each theory. The experiment assesses individuals’ preferences through a portfolio choice experiment constructed from two assets that may include a riskfree asset. The results of the experiment con rm the suitability of both theories to predict individuals’ optimal choices. Furthermore, the aggregation of results by individual choices o ers support to the MV theory. However, the aggregation of results by task, which is more informative, provides more support to the QP theory. The overall message that emerges from this experiment is that individuals’ behavior is better predicted by the MV model when it is di cult to assess the differences in the lotteries’ payoff distributions but better described as QP maximizers, otherwise. Este trabajo lleva a cabo un experimento de laboratorio para evaluar las decisiones óptimas de elección de cartera bajo preferencias por cuantiles y las compara con las predicciones de modelos basados en funciones de utilidad media-varianza. Estimamos los coeficientes de aversión al riesgo en base a las carteras empíricas, y luego evaluamos la predicción de cada teoría. El experimento se lleva a cabo permitiendo que los individuos elijan entre dos activos riesgosos, aunque también uno de ellos puede ser sin riesgo. Los resultados confirman ambas teorías en distintos casos. La agregación de las elecciones por individuo favorecen la utilidad media-varianza; la agregación por experimento la teoría de cuantiles. La elección está mejor representada por cuantiles cuando la comparación de los pagos no es compleja. application/pdf https://ojs.economicas.uba.ar/DT-IIEP/article/view/2439 spa Instituto Interdisciplinario de Economía Política (IIEP UBA-CONICET) https://ojs.economicas.uba.ar/DT-IIEP/article/view/2439/3187 Documentos de trabajo del Instituto Interdisciplinario de Economía Política; Núm. 68 (2021): Experiments on portfolio selection: a comparison between quantile preferences and expected utility decision models; 1-73 Working Papers series at Instituto Interdisciplinario de Economía Política; No. 68 (2021): Experimentos de selección de cartera: una comparación entre preferencias por cuantiles y utilidad esperada; 1-73 2451-5728 Elección óptima de cartera Preferencias por cuantiles Aversión al riesgo Teoría de carteras Optimal asset allocation Quantile preferences Portfolio theory Risk attitude Predictive ability test Experiments on portfolio selection:: a comparison between quantile preferences and expected utility decision models Experimentos de selección de cartera:: una comparación entre preferencias por cuantiles y utilidad esperada info:eu-repo/semantics/article info:eu-repo/semantics/publishedVersion https://repositoriouba.sisbi.uba.ar/gsdl/cgi-bin/library.cgi?a=d&c=dociiep&d=2439_oai
institution Universidad de Buenos Aires
institution_str I-28
repository_str R-145
collection Repositorio Digital de la Universidad de Buenos Aires (UBA)
language Español
orig_language_str_mv spa
topic Elección óptima de cartera
Preferencias por cuantiles
Aversión al riesgo
Teoría de carteras
Optimal asset allocation
Quantile preferences
Portfolio theory
Risk attitude
Predictive ability test
spellingShingle Elección óptima de cartera
Preferencias por cuantiles
Aversión al riesgo
Teoría de carteras
Optimal asset allocation
Quantile preferences
Portfolio theory
Risk attitude
Predictive ability test
de Castro, Luciano
Galvao, Antonio F.
Yeol Kim, Jeong
Montes-Rojas, Gabriel
Olmo, Jose
Experiments on portfolio selection:: a comparison between quantile preferences and expected utility decision models
topic_facet Elección óptima de cartera
Preferencias por cuantiles
Aversión al riesgo
Teoría de carteras
Optimal asset allocation
Quantile preferences
Portfolio theory
Risk attitude
Predictive ability test
description This paper conducts a laboratory experiment to assess the optimal portfolio allocation under quantile preferences (QP) and compares the model predictions with those of a meanvariance (MV) utility function. We estimate the risk aversion coefficients associated to the individuals’ empirical portfolio choices under the QP and MV theories, and evaluate the relative predictive performance of each theory. The experiment assesses individuals’ preferences through a portfolio choice experiment constructed from two assets that may include a riskfree asset. The results of the experiment con rm the suitability of both theories to predict individuals’ optimal choices. Furthermore, the aggregation of results by individual choices o ers support to the MV theory. However, the aggregation of results by task, which is more informative, provides more support to the QP theory. The overall message that emerges from this experiment is that individuals’ behavior is better predicted by the MV model when it is di cult to assess the differences in the lotteries’ payoff distributions but better described as QP maximizers, otherwise.
format Artículo
publishedVersion
author de Castro, Luciano
Galvao, Antonio F.
Yeol Kim, Jeong
Montes-Rojas, Gabriel
Olmo, Jose
author_facet de Castro, Luciano
Galvao, Antonio F.
Yeol Kim, Jeong
Montes-Rojas, Gabriel
Olmo, Jose
author_sort de Castro, Luciano
title Experiments on portfolio selection:: a comparison between quantile preferences and expected utility decision models
title_short Experiments on portfolio selection:: a comparison between quantile preferences and expected utility decision models
title_full Experiments on portfolio selection:: a comparison between quantile preferences and expected utility decision models
title_fullStr Experiments on portfolio selection:: a comparison between quantile preferences and expected utility decision models
title_full_unstemmed Experiments on portfolio selection:: a comparison between quantile preferences and expected utility decision models
title_sort experiments on portfolio selection:: a comparison between quantile preferences and expected utility decision models
publisher Instituto Interdisciplinario de Economía Política (IIEP UBA-CONICET)
publishDate 2021
url https://ojs.economicas.uba.ar/DT-IIEP/article/view/2439
https://repositoriouba.sisbi.uba.ar/gsdl/cgi-bin/library.cgi?a=d&c=dociiep&d=2439_oai
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