Detecting Heterogeneous Risk Attitudes with Mixed Gambles

Luís Santos-Pinto*, Adrian Bruhin, José Mata, Thomas Åstebro

*Corresponding author for this work

Research output: Contribution to journalJournal articleResearchpeer-review


We propose a task for eliciting attitudes toward risk that is close to real-world risky decisions which typically involve gains and losses. The task consists of accepting or rejecting gambles that provide a gain with probability p and a loss with probability 1−p. We employ finite mixture models to uncover heterogeneity in risk preferences and find that (i) behavior is heterogeneous, with one half of the subjects behaving as expected utility maximizers, (ii) for the others, reference-dependent models perform better than those where subjects derive utility from final outcomes, (iii) models with sign-dependent decision weights perform better than those without, and (iv) there is no evidence for loss aversion. The procedure is sufficiently simple so that it can be easily used in field or lab experiments where risk elicitation is not the main experiment.
Original languageEnglish
JournalTheory and Decision
Issue number4
Pages (from-to)573–600
Number of pages28
Publication statusPublished - Dec 2015
Externally publishedYes


  • Individual risk-taking behavior
  • Latent heterogeneity
  • Finite mixture models
  • Reference-dependence
  • Loss aversion

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