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Date de publication : 1 avr. 2017 22:41:37
Abstract: We report the results of an experimental investigation using a novel elicitation method for discounting that explicitly recognizes the uncertain nature of future outcomes in a unified “time-risk” setup. By trading off the probability of obtaining a prize now against a time delay, this method allows us to access the discount function non-parametrically under discounted expected utility (DEU). We then elicit a generalized version of DEU adapted to our time-risk setup, which allows for a distinction between intertemporal substitution and risky utility, and which accounts for anomalies regarding both discounted utility and expected utility. We show that, under DEU, time discounting is a direct measure of uncertainty regarding future outcomes. The discounting obtained in our time-risk framework differs from discounting obtained in a riskless setup. The discrepancy only disappears once we correct not only for differences in utility but also for nonlinear probability weighting, taking into account the inherent riskiness of the future.
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