Measuring Multivariate Risk Preferences.
Room: tba, 16:00-17:15.
Many risky decisions involve tradeoffs between multiple attributes. According to theory, the cross-risk attitudes correlation aversion, cross-prudence and cross-temperance determine how risk preferences over multiple attributes co-vary and interact. We obtain model-free measurements of these cross-risk attitudes in three economic domains, viz., time preferences, social preferences, and preferences over waiting time. This first systematic empirical exploration of multivariate risk preferences provides evidence for assumptions made in economic models on inequality, labor, time preferences, saving, and insurance. We observe correlation seeking and cross-intemperance in a condition involving social preferences, which is in line with models predicting inequality aversion. Results from a condition involving time preferences cast doubt on the separability of utility across time, an assumption often invoked by models of inter-temporal decision making.