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Multidimensional Ellsberg

Author

Listed:
  • Kfir Eliaz

    (Department of Economics, Tel Aviv University, Tel Aviv 6997801, Israel; and Department of Economics, University of Michigan, Ann Arbor, Michigan 48109)

  • Pietro Ortoleva

    (Department of Economics, Columbia University, New York, New York 10027)

Abstract

The classical Ellsberg experiment presents individuals with a choice problem in which the probability of winning a prize is unknown (uncertain). In this paper, we study how individuals make choices between gambles in which the uncertainty is in different dimensions: the winning probability, the amount of the prize, the payment date, and the combinations thereof. Although the decision-theoretic models accommodate a rich variety of behaviors, we present experimental evidence that points at systematic behavioral patterns: (i) no uncertainty is preferred to uncertainty on any single dimension and to uncertainty on multiple dimensions, and (ii) “correlated” uncertainty on multiple dimensions is preferred to uncertainty on any single dimension.Data, as supplemental material, are available at http://dx.doi.org/10.1287/mnsc.2015.2240 . This paper was accepted by Uri Gneezy, behavioral economics .

Suggested Citation

  • Kfir Eliaz & Pietro Ortoleva, 2016. "Multidimensional Ellsberg," Management Science, INFORMS, vol. 62(8), pages 2179-2197, August.
    • Handle: RePEc:inm:ormnsc:v:62:y:2016:i:8:p:2179-2197
    DOI: 10.1287/mnsc.2015.2240
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    References listed on IDEAS

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    Cited by:

    1. Patrick DeJarnette & David Dillenberger & Daniel Gottlieb & Pietro Ortoleva, 2020. "Time Lotteries and Stochastic Impatience," Econometrica, Econometric Society, vol. 88(2), pages 619-656, March.
    2. Baillon, Aurélien & Bleichrodt, Han & Li, Chen & Wakker, Peter P., 2021. "Belief hedges: Measuring ambiguity for all events and all models," Journal of Economic Theory, Elsevier, vol. 198(C).
    3. Divya Aggarwal & Pitabas Mohanty, 2022. "Influence of imprecise information on risk and ambiguity preferences: Experimental evidence," Managerial and Decision Economics, John Wiley & Sons, Ltd., vol. 43(4), pages 1025-1038, June.

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