The Willingness to Pay for Diversification

Published Online:https://doi.org/10.1287/mnsc.2021.4122

References

  • Abdellaoui M, Bleichrodt H, L’Haridon O (2008) A tractable mehotd to measure utility and loss aversion under prospect theory. J. Risk Uncertain. 36:245.Google Scholar
  • Ackerman JM, Maner JK, Carpenter SM (2016) Going all in: unfavorable sex ratios attenuate choice diversification. Psych. Sci. 27(6):799–809.CrossrefGoogle Scholar
  • Agranov M, Ortoleva P (2017) Stochastic choice and preferences for randomization. J. Political Econom. 125(1):40–68.CrossrefGoogle Scholar
  • Baltussen G, Post T (2011) Irrational diversification: an examination of the portfolio construction decision. J. Financial Quant. Anal. 46(5):1463–1491.CrossrefGoogle Scholar
  • Benartzi S, Thaler R (2001) Naive diversification strategies in defined contribution saving plans. Amer. Econom. Rev. 91:79–98.CrossrefGoogle Scholar
  • Bernoulli D (1738) Exposition of a new theory on the measurement of risk. Econometrica 22:23–36.CrossrefGoogle Scholar
  • Chateauneuf A, Lakhnati G (2007) From sure to strong diversification. Econom. Theory 32:511–522.CrossrefGoogle Scholar
  • Chateauneuf A, Tallon J-M (2002) Diversification, convex preferences and non-empty core in the choquet expected utility model. Econom. Theory 19:509–523.CrossrefGoogle Scholar
  • Cubitt R (1998) Dynamic choice and the common ratio effect. Econom. J. (Lond.) 108(450):1362–1380.Google Scholar
  • Darwin C (1859) On the Origin of Species by Means of Natural Selection, or the Preservation of Favoured Races in the Struggle for Life (John Murray, Albemale Street, London).Google Scholar
  • De Giorgi EG, Mahmoud O (2016) Diversification preferences in the theory of choice. Decisions Econom. Finance 39(2):143–174.CrossrefGoogle Scholar
  • De Giorgi EG, Mahmoud O (2017) How elementary is diversification? A study of childrens' portfolio choice. Working Paper, University of St. Gallen.Google Scholar
  • Dean M, Ortoleva P (2017) Allais, Ellsberg, and preferences for hedging. Theory Econom. 12:377–424.CrossrefGoogle Scholar
  • Dekel E (1989) Asset demands without the independence axiom. Econometrica 57:163–169.CrossrefGoogle Scholar
  • Eliaz K, Frechette GR (2008) Don't put all your eggs in one basket: An experimental study of false diversification. Working Paper, Brown University.Google Scholar
  • Fernandes D (2013) The 1/N rule revisited: heterogeneity in the naive diversification bias. Internat. J. Marketing Res. 30(3):310–313.CrossrefGoogle Scholar
  • Föllmer H, Schied A (2010) Coherent and convex risk measures. Cont R, ed. Encyclopedia of Quantitative Finance (John Wiley and Sons, Hoboken, NJ), 355–363.Google Scholar
  • Gigerenzer G (2010) Rationality for Mortals: How People Cope with Uncertainty (Oxford University Press, Oxford, UK).Google Scholar
  • Gneezy U, Potters J (1997) An experiment on risk taking and evaluation periods. Quart. J. Econom. 112(2):631–645.CrossrefGoogle Scholar
  • Hadar J, Russell WR (1969) Rules for ordering uncertain prospects. Amer. Econom. Rev. 59:25–34.Google Scholar
  • Hadar J, Russell WR (1971) Stochastic dominance and diversification. J. Econom. Theory 3:288–305.CrossrefGoogle Scholar
  • Halevy Y (2007) Ellsberg revisited: an experimental study. Econometrica 75(2):503–536.CrossrefGoogle Scholar
  • Hey JD, Lee J (2005) Do subjects separate (or are they sophisticated)? Experiment. Econom. 8:233–265.CrossrefGoogle Scholar
  • Hopper KR (1999) Risk spreading and bet hedging in insect population biology. Annual Rev. Entomol. 44:535–560.CrossrefGoogle Scholar
  • Imas A, Sadoff S, Samek A (2017) Do people anticipate loss aversion? Management Sci. 63(5):1271–1284.LinkGoogle Scholar
  • Kahn BE, Ratner RK (2005) Variety for the sake of variety? Diversification motives in concumer choice. Ratneshwar S, Mick DG, eds. Inside Consumption: Consumer Motives, Goals, and Desires. (Taylor and Francis Group, Milton Park, Oxfordshire, England).Google Scholar
  • Kahneman D, Tversky A (1984) Choices, values, and frames. Amer. Psych. 39(4):341–350.CrossrefGoogle Scholar
  • Kahneman D, Tversky A (1992) Advances in prospect theory: cumulative representation of uncertainty. J. Risk Uncertainty 5:297–323.CrossrefGoogle Scholar
  • Li CK, Wong WK (1999) Extension of stochastic dominance theory to random variables. RAIRO Oper. Res. 33:509–524.CrossrefGoogle Scholar
  • List JA (2004) Neoclassical theory versus prospect theory: evidence from the marketplace. Econometrica 72:615–625.CrossrefGoogle Scholar
  • Loomes G (1991) Evidence of a new violation of the independence axiom. J. Risk Uncertainty 4(1):91–108.CrossrefGoogle Scholar
  • Mann HB, Whitney DR (1947) On a test of whether one of two random variables is stochastically larger than the other. Ann. Math. Statist. 18(1):50–60.CrossrefGoogle Scholar
  • Markowitz HM (1952) Portfolio selection. J. Finance 7:77–91.Google Scholar
  • Olofsson H, Ripa J, Jonzén N (2009) Bet-hedging as an evolutionarygame: The trade-off between egg size and number. Proceedings of the Royal Society B.Google Scholar
  • Rabin M, Thaler RH (2001) Anomalies: risk aversion. J. Econom. Perspect. 15:219–232.CrossrefGoogle Scholar
  • Rajon E, Desouhant E, Chevalier M, Debias F, Menu F (2014) The evolution of bet hedging in response to local ecological conditions. Amer. Naturalist 184(1):E1–E15.CrossrefGoogle Scholar
  • Read D, Loewenstein G (1995) Diversification bias: explaining the discrepancy in variety seeking between combined and separated choices. J. Experiment. Psych. Appl. 1(1):34–49.CrossrefGoogle Scholar
  • Rizzo JA, Zeckhauser RJ (2004) Reference incomes, loss aversion, and physician behavior. Rev. Econom. Statist. 85:909–922.CrossrefGoogle Scholar
  • Rubinstein A (2002) Irrational diversification in multiple decision problems. Eur. Econom. Rev. 46(8):1369–1378.CrossrefGoogle Scholar
  • Samuelson P (1967) General proof that diversification pays. J. Financial. Quant. Anal. 2:1–13.CrossrefGoogle Scholar
  • Samuelson W, Zeckhauser RJ (1988) Status quo bias in decision making. J. Risk Uncertainty 1(1):7–59.CrossrefGoogle Scholar
  • Schmeidler D (1989) Subjective probability and expected utility without additivity. Econometrica 5:571–587.CrossrefGoogle Scholar
  • Shin J, Ariely D (2004) Keeping doors open: the effect of unavailability on incentives to keep options viable. Management Sci. 50(5):575–586.LinkGoogle Scholar
  • Simonson I (1990) The Effect of Purchase Quantity and Timing on Variety-Seeking Behavior. J. Marketing Res. 27:150–162.CrossrefGoogle Scholar
  • Starmer C (1991) Does the random lottery incentive system elicit true preferences? Amer. Econom. Rev. 81(4):971–978.Google Scholar
  • Starrfelt J, Kokko H (2012) Bet hedging – A triple trade-off between means, variances and correlations. Biol. Rev. Camb. Philos. Soc. 87(3):742–755.CrossrefGoogle Scholar
  • Stracca L (2002) The optimal allocation of risks under prospect theory. European Central Bank, Working Paper No. 161.Google Scholar
  • Tesfatsion L (1976) Stochastic dominance and maximization of expected utility. Rev. Econom. Stud. 43:301–315.CrossrefGoogle Scholar
  • Thaler RH, Tversky A, Kahneman D, Schwartz A (1997) The effect of myopia and loss aversion on risk taking: An experimental test. Quart. J. Econom. 112(2):647–661.CrossrefGoogle Scholar
  • von Neumann J, Morgenstern O (1944) Theory of Games and Economic Behavior (Princeton University Press, Princeton, NJ).Google Scholar
  • Wakker P (1990) Characterizing optimism and pessimism directly through comonotonicity. J. Econom. Theory 52:453–463.CrossrefGoogle Scholar
INFORMS site uses cookies to store information on your computer. Some are essential to make our site work; Others help us improve the user experience. By using this site, you consent to the placement of these cookies. Please read our Privacy Statement to learn more.