In this paper we experimentally test skewness seeking at the individual level. Several prospects that can be ordered with respect to the third-degree stochastic dominance (3SD) criterion are ranked by the participants of the experiment. We ¯nd that the skewness of a distribution has a signi¯cant impact on the decisions. Yet, while skewness has an impact, its direction di®ers substantially across subjects: 39% of our subjects act in accordance with skewness seeking and 10% seem to avoid skewness. On the level of individual decisions we ¯nd that the variance of the prospects and subjects' experience increase the probability of their choosing the lottery with greater skewness.
Skewness Stochastic dominance Decision making under uncertainty