Risk Attitude Elicitation Methods: Do They Tell Similar Stories?

We focus on the comparison of risk attitudes elicited through three different procedures with the goal to analyse the consistency of risk attitudes. Rank correlations are utilized to measure the degree of association of the subjects’ choices and principal component analysis is employed to find the main factors describing the specific characteristics of risk attributes. We observe patterns of consistency in risk attitudes between two methods and within the selected multidimensional method, too. We find an evidence that gender and subjects’ cognitive abilities play a certain role in the consistency of risk attitudes. Participants’ choices in popular Holt and Laury method and the other two methods show nearly no relation. The principal component analysis supports the validity of the distinctive nature of the three risk elicitation methods. We also identify another aspect which is common in the different risk context; we call it the payoff risk sensitivity.