Ellsberg Revisited: An Experimental Study

48 Pages Posted: 8 Aug 2005

Date Written: July 17, 2005

Abstract

An extension to Ellsberg's experiment demonstrates that attitudes to ambiguity and compound objective lotteries are tightly associated. The sample is decomposed into three main groups: subjective expected utility subjects - who reduce compound objective lotteries and are ambiguity neutral, and two groups that exhibit different forms of association between preferences over compound lotteries and ambiguity - corresponding to alternative theoretical models that account for ambiguity averse or seeking behavior.

Keywords: Uncertainty Aversion, Probabilistic Sophistication, Reduction of Compound Lotteries, Non-Expected Utility, Maxmin Expected Utility, Anticipated Utility, Rank Dependent Utility, Recursive Utility, Compound Independence, Bundling, Rule Rationality.

JEL Classification: D81, C91

Suggested Citation

Halevy, Yoram, Ellsberg Revisited: An Experimental Study (July 17, 2005). Available at SSRN: https://ssrn.com/abstract=770964 or http://dx.doi.org/10.2139/ssrn.770964

Yoram Halevy (Contact Author)

University of Toronto ( email )

150 St. George Street
Toronto, Ontario M5S3G7
Canada

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

Paper statistics

Downloads
233
Abstract Views
1,947
Rank
238,301
PlumX Metrics