An Experimental Test of the Anscombe-Aumann Monotonicity Axiom

University of Zurich, Department of Economics, Working Paper No. 207, Revised version

27 Pages Posted: 14 Oct 2015 Last revised: 24 May 2017

See all articles by Florian Schneider

Florian Schneider

University of Zurich - Department of Economics

Martin Schonger

ETH Zürich

Date Written: May 2017

Abstract

Most models of ambiguity aversion satisfy Anscombe-Aumann’s Monotonicity axiom. Monotonicity imposes separability of preferences across events that occur with unknown probability. We construct a test of Monotonicity by modifying the Allais paradox to a setting with both subjective and objective uncertainty. Two experimental studies are conducted: while study 1 uses U.S. online workers and a natural source of ambiguity, study 2 employs European students and an Ellsberg urn. In both studies, modal behavior violates Monotonicity in a specific, intuitive way. Overall, our data suggest that violations of Monotonicity are as prevalent as violations of von Neumann-Morgenstern’s Independence axiom.

Keywords: Ambiguity aversion, monotonicity, Anscombe-Aumann, Allais paradox, experiments

JEL Classification: D81

Suggested Citation

Schneider, Florian and Schonger, Martin, An Experimental Test of the Anscombe-Aumann Monotonicity Axiom (May 2017). University of Zurich, Department of Economics, Working Paper No. 207, Revised version, Available at SSRN: https://ssrn.com/abstract=2674108 or http://dx.doi.org/10.2139/ssrn.2674108

Florian Schneider (Contact Author)

University of Zurich - Department of Economics ( email )

Zürich
Switzerland

Martin Schonger

ETH Zürich ( email )

Rämistrasse 101
ZUE F7
Zürich, 8092
Switzerland

Do you have negative results from your research you’d like to share?

Paper statistics

Downloads
92
Abstract Views
746
Rank
506,276
PlumX Metrics