Experimentos de selección de cartera:
una comparación entre preferencias por cuantiles y utilidad esperada
Resumen
Este trabajo lleva a cabo un experimento de laboratorio para evaluar las decisiones óptimas de elección de cartera bajo preferencias por cuantiles y las compara con las predicciones de modelos basados en funciones de utilidad media-varianza. Estimamos los coeficientes de aversión al riesgo en base a las carteras empíricas, y luego evaluamos la predicción de cada teoría. El experimento se lleva a cabo permitiendo que los individuos elijan entre dos activos riesgosos, aunque también uno de ellos puede ser sin riesgo. Los resultados confirman ambas teorías en distintos casos. La agregación de las elecciones por individuo favorecen la utilidad media-varianza; la agregación por experimento la teoría de cuantiles. La elección está mejor representada por cuantiles cuando la comparación de los pagos no es compleja.
Citas
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