Journal article
A note on optimal experimentation under risk aversion
- Abstract:
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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 ...
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- Publication status:
- Published
- Peer review status:
- Peer reviewed
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- Files:
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(Version of record, pdf, 291.7KB)
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- Publisher copy:
- 10.1016/j.jet.2018.11.006
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Authors
Bibliographic Details
- Publisher:
- Elsevier Publisher's website
- Journal:
- Journal of Economic Theory Journal website
- Volume:
- 179
- Pages:
- 476-487
- Publication date:
- 2018-12-03
- Acceptance date:
- 2018-11-26
- DOI:
- ISSN:
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0022-0531
- Source identifiers:
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949936
Item Description
- Language:
- English
- Keywords:
- Pubs id:
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pubs:949936
- UUID:
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uuid:36697508-1210-410a-a386-34b4dce3cfc0
- Local pid:
- pubs:949936
- Deposit date:
- 2018-12-04
Terms of use
- Copyright holder:
- Keller et al
- Copyright date:
- 2018
- Notes:
- Copyright © 2019 The Authors. Published by Elsevier Inc. Under a Creative Commons license.
- Licence:
- CC Attribution (CC BY)
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