The Relationship Between Risk Attitudes and Heuristics in Search Tasks: A Laboratory Experiment∗

Abstract: Experimental studies of search behavior suggest that individuals stop search-ing earlier than predicted by the optimal, risk-neutral stopping rule. Such behavior could be generated by two different classes of decision rules: rules that are optimal conditional on utility functions departing from risk neutrality, or heuristics derived from limited cog-nitive processing capacities and satisficing. To discriminate among these two possibilities, we conduct an experiment that consists of a standard search task as well as a lottery task designed to elicit utility functions. We find that search heuristics are not related to measures of risk aversion, but to measures of loss aversion