An experimental test of the anscombe-aumann monotonicity axiom
Research output: Contribution to journal › Journal article › Research › peer-review
Most models of ambiguity aversion satisfy the Anscombe-Aumann monotonicity axiom. Monotonicity implies a weak form of separability of preferences across events that occur with unknown probability. We construct a test of weak separability by modifying the Allais paradox, adapting it to the Anscombe-Aumann framework. Three experimental studies are conducted. Study 1 finds frequent, systematic violations of weak separability in the lab. These findings replicate in study 2, where we employ a subject pool of online workers and use a natural rather than an artificial source of uncertainty. Investigating a potential explanation of the violations, study 3 suggests that the certainty effect plays a major role.
Original language | English |
---|---|
Journal | Management Science |
Volume | 65 |
Issue number | 4 |
Pages (from-to) | 1667-1677 |
Number of pages | 11 |
ISSN | 0025-1909 |
DOIs | |
Publication status | Published - Apr 2019 |
Bibliographical note
Publisher Copyright:
© 2018 INFORMS.
- Allais paradox, Ambiguity aversion, Ellsberg paradox, Experiment, Weak separability
Research areas
ID: 374862769