Do people maximize quantiles?

Luciano de Castro, Antonio F. Galvao, Charles N. Noussair, Liang Qiao

Research output: Contribution to journalArticlepeer-review

5 Scopus citations


Quantiles are used for decision making in investment analysis and in the mining, oil and gas industries. However, it is unknown how common quantile-based decision making actually is among typical individual decision makers. This paper describes an experiment that aims to (1) compare how common is decision making based on quantiles relative to expected utility maximization, and (2) estimate risk attitude parameters under the assumption of quantile preferences. The experiment has two parts. In the first part, individuals make pairwise choices between risky lotteries, and the competing models are fitted to the choice data. In the second part, we directly elicit a decision rule from a menu of alternatives. The results show that a quantile preference model outperforms expected utility for 32%–55%, of participants, depending on the metric. The majority of individuals are risk averse, and women are more risk averse than men, under both models.

Original languageEnglish (US)
Pages (from-to)22-40
Number of pages19
JournalGames and Economic Behavior
StatePublished - Mar 2022


  • Experiment
  • Quantile preference
  • Risk attitude

ASJC Scopus subject areas

  • Finance
  • Economics and Econometrics


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