Journal article

A note on optimal experimentation under risk aversion

Abstract:: 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 risky actions can actually be indicative of more risk aversion, not less.

Publication status:: Published

Peer review status:: Peer reviewed

Actions

Email

Email this record

Send the bibliographic details of this record to your email address.

Your Email
Please enter the email address that the record information will be sent to.

-
Your message (optional)
Please add any additional information to be included within the email.
Cite

Cite this record

APA Style

Keller, G., Novák, V., & Willems, T. (2018). A note on optimal experimentation under risk aversion. Journal of Economic Theory, 179, 476–487.

MLA Style

Keller, G., et al. “A Note on Optimal Experimentation under Risk Aversion.” Journal of Economic Theory, vol. 179, Elsevier, 2018, pp. 476–87.

Chicago Style

Keller, G, V Novák, and T Willems. 2018. “A Note on Optimal Experimentation under Risk Aversion.” Journal of Economic Theory 179: 476–87.
Share
Print

Access Document

Files:: Keller-et-al-2018-Journal-of-Economic-Theory.pdf

(Preview, Version of record, pdf, 291.7KB, Terms of use)

Publisher copy:: 10.1016/j.jet.2018.11.006

Authors

+ Keller, G More by this author

Institution:: University of Oxford
Department:: Economics
Oxford college:: Nuffield College
Role:: Author

+ Novák, V More by this author

Role:: Author

+ Willems, T More by this author

Role:: Author

Publisher:: Elsevier
Journal:: Journal of Economic Theory More from this journal
Volume:: 179
Pages:: 476-487
Publication date:: 2018-12-03
Acceptance date:: 2018-11-26
DOI:: 10.1016/j.jet.2018.11.006
ISSN:: 0022-0531

Language:: English
Keywords:: experimentation

risk aversion

learning
Pubs id:: pubs:949936
UUID:: uuid:36697508-1210-410a-a386-34b4dce3cfc0
Local pid:: pubs:949936
Source identifiers:: 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)

Views and Downloads

About views and downloads

If you are the owner of this record, you can report an update to it here: Report update to this record

TO TOP