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A theory of robust experiments for choice under uncertainty

Listed author(s):
  • Grant, S.
  • Kline, J.
  • Meneghel, I.
  • Quiggin, J.
  • Tourky, R.

Thought experiments are commonly used in the theory of behavior in the presence of risk and uncertainty to test the plausibility of proposed axiomatic postulates. The prototypical examples of the former are the Allais experiments and of the latter are the Ellsberg experiments. Although the lotteries from the former have objectively specified probabilities, the participants in both kinds of experiments may be susceptible to small deviations in their subjective beliefs. These may result from a variety of factors that are difficult to check in an experimental setting: including deviations in the understanding and trust regarding the experiment, its instructions and its method. Intuitively, an experiment is robust if it is tolerant to small deviations in subjective beliefs in models that are in an appropriate way close to the analyst's model. The contribution of this paper lies in the formalization of these ideas.

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File URL: http://www.sciencedirect.com/science/article/pii/S0022053116300333
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Article provided by Elsevier in its journal Journal of Economic Theory.

Volume (Year): 165 (2016)
Issue (Month): C ()
Pages: 124-151

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Handle: RePEc:eee:jetheo:v:165:y:2016:i:c:p:124-151
DOI: 10.1016/j.jet.2016.04.013
Contact details of provider: Web page: http://www.elsevier.com/locate/inca/622869

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  1. Mark J. Machina, 2009. "Risk, Ambiguity, and the Rank-Dependence Axioms," American Economic Review, American Economic Association, vol. 99(1), pages 385-392, March.
  2. Smith, Vernon L, 1982. "Microeconomic Systems as an Experimental Science," American Economic Review, American Economic Association, vol. 72(5), pages 923-955, December.
  3. Eichberger, Jurgen & Grant, Simon & Kelsey, David, 2007. "Updating Choquet beliefs," Journal of Mathematical Economics, Elsevier, vol. 43(7-8), pages 888-899, September.
  4. Howard Raiffa, 1961. "Risk, Ambiguity, and the Savage Axioms: Comment," The Quarterly Journal of Economics, Oxford University Press, vol. 75(4), pages 690-694.
  5. Yoram Halevy, 2007. "Ellsberg Revisited: An Experimental Study," Econometrica, Econometric Society, vol. 75(2), pages 503-536, 03.
  6. Schmeidler, David, 1989. "Subjective Probability and Expected Utility without Additivity," Econometrica, Econometric Society, vol. 57(3), pages 571-587, May.
  7. Loomes, Graham & Sugden, Robert, 1982. "Regret Theory: An Alternative Theory of Rational Choice under Uncertainty," Economic Journal, Royal Economic Society, vol. 92(368), pages 805-824, December.
  8. Harrison, Glenn W, 1994. "Expected Utility Theory and the Experimentalists," Empirical Economics, Springer, vol. 19(2), pages 223-253.
  9. Holt, Charles A, 1986. "Preference Reversals and the Independence Axiom," American Economic Review, American Economic Association, vol. 76(3), pages 508-515, June.
  10. Daniel Ellsberg, 1961. "Risk, Ambiguity, and the Savage Axioms," The Quarterly Journal of Economics, Oxford University Press, vol. 75(4), pages 643-669.
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