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Ellsberg Revisited: an Experimental Study

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  • Halevy, Yoram

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.

Suggested Citation

  • Halevy, Yoram, 2005. "Ellsberg Revisited: an Experimental Study," Microeconomics.ca working papers halevy-05-07-26-11-51-13, Vancouver School of Economics, revised 25 Feb 2014.
  • Handle: RePEc:ubc:pmicro:halevy-05-07-26-11-51-13
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    File URL: http://faculty.arts.ubc.ca/yhalevy/ua-rocl.pdf
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    Keywords

    Uncertainty Aversion; Probabilistic Sophistication; Reduction of Compound Lotteries; Non-Expected Utility; Maxmin Expected Utility; Anticipated Utilit;

    JEL classification:

    • D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
    • C91 - Mathematical and Quantitative Methods - - Design of Experiments - - - Laboratory, Individual Behavior

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