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| Mattos, Fabio; Garcia, Philip; Pennings, Joost M.E.. |
| The objective of this study is to investigate how professional traders in futures and options markets behave under risk and uncertainty. Our preliminary findings suggest that most traders exhibit concave utility functions for gains and convex utility functions for losses, while their weighting functions are inverse s-shaped. However, differences in magnitude of the risk aversion parameters and the degree of probability weighting can lead to distinct behavior even if the shapes of utility and weighting functions are the same. Further, the typical pattern of prospect theory is more prevalent under risk but not as much under uncertainty. More combinations of shapes for utility and weighting functions are found under uncertainty, suggesting that different... |
| Tipo: Conference Paper or Presentation |
Palavras-chave: Trader behavior; Risk aversion; Probability weighting. |
| Ano: 2007 |
URL: http://purl.umn.edu/37569 |
