Accessibility statement

Context Matters

Wenting Zhou and John Hey


Eliciting the level of risk aversion of experimental subjects is a crucial concern to experimenters.  In the literature there are a variety of methods used for such elicitation; the concern of the experiment reported in this paper is to compare them. The methods we investigate are the following: Holt-Laury price lists; pairwise choices, the Becker-DeGroot-Marschak method; allocation questions. Clearly their relative efficiency in measuring risk aversion depends upon the numbers of questions asked; but the method itself may well influence the elicited risk-aversion. Clearly it is impossible to determine a ‘best’ method (as the truth is unknown) but we can look at the differences between the different methods. We carried out an experiment in four parts, corresponding to the four different methods, with 96 subjects. In analysing the data our methodology involves fitting preference functionals; we use four, both Expected Utility and Rank-Dependent Expected Utility each combined with either a CRRA or a CARA utility function. Our results show that the inferred level of risk aversion is more sensitive to the elicitation method than to the assumed-true preference functional. Experimenters should worry most about context.

The problem sets

Problem Sets (MS Word , 101kb)

The econometric software

This contains the matlab programs that were used in the estimation.

Matlab Files (zip , 87kb)

The experimental software

Experimental Software (zip , 41kb)

The Instructions

Instructions (MS Word , 300kb)

Data from experiment

This is the data (zip , 100kb) from the experiment. It also contains a guide to how to read it.


The full sets of Scatters (zip , 1,229kb) across preference functionals and elicitation methods.