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Erscheinungsjahr: 
2017
Quellenangabe: 
[Journal:] Quantitative Economics [ISSN:] 1759-7331 [Volume:] 8 [Issue:] 1 [Publisher:] The Econometric Society [Place:] New Haven, CT [Year:] 2017 [Pages:] 219-238
Verlag: 
The Econometric Society, New Haven, CT
Zusammenfassung: 
Prominent models such as maxmin expected utility/alpha-multiprior (MEU/ a -MP) and Klibanoff, Marinacci, and Mukerji (KMM) interpret ambiguity aversion as aversion against second-order risks associated with ambiguous acts. We design an experiment where the decision maker draws twice with replacement in the typical Ellsberg two-color urns, but with a different color winning each time. Given this set of mean-preserving prospects, MEU/α‐MP, KMM, and Savage's subjective expected utility all predict unequivocally that risk-averse decision makers (DMs) will avoid the 50 - 50 urn that exhibits the highest risk conceivable, while risk-seeking DMs do the opposite. However, we observe a substantial number of violations in the experiments. It appears that the ambiguity premium is partially paid to avoid the ambiguity issue per se, which is distinct from notions of second- order risk. This finding is robust even when there is only partial ambiguity, and is applicable to all models that satisfy a monotonicity condition.
Schlagwörter: 
Ambiguity
Ellsberg paradox
expected utility
experiment
mean preserving
monotonicity
partial ambiguity
second-order risk
source premium
JEL: 
C91
D81
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