An experimental test of the anscombe-aumann monotonicity axiom
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An experimental test of the anscombe-aumann monotonicity axiom. / Schneider, Florian H.; Schonger, Martin.
In: Management Science, Vol. 65, No. 4, 04.2019, p. 1667-1677.Research output: Contribution to journal › Journal article › Research › peer-review
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TY - JOUR
T1 - An experimental test of the anscombe-aumann monotonicity axiom
AU - Schneider, Florian H.
AU - Schonger, Martin
N1 - Publisher Copyright: © 2018 INFORMS.
PY - 2019/4
Y1 - 2019/4
N2 - Most models of ambiguity aversion satisfy the Anscombe-Aumann monotonicity axiom. Monotonicity implies a weak form of separability of preferences across events that occur with unknown probability. We construct a test of weak separability by modifying the Allais paradox, adapting it to the Anscombe-Aumann framework. Three experimental studies are conducted. Study 1 finds frequent, systematic violations of weak separability in the lab. These findings replicate in study 2, where we employ a subject pool of online workers and use a natural rather than an artificial source of uncertainty. Investigating a potential explanation of the violations, study 3 suggests that the certainty effect plays a major role.
AB - Most models of ambiguity aversion satisfy the Anscombe-Aumann monotonicity axiom. Monotonicity implies a weak form of separability of preferences across events that occur with unknown probability. We construct a test of weak separability by modifying the Allais paradox, adapting it to the Anscombe-Aumann framework. Three experimental studies are conducted. Study 1 finds frequent, systematic violations of weak separability in the lab. These findings replicate in study 2, where we employ a subject pool of online workers and use a natural rather than an artificial source of uncertainty. Investigating a potential explanation of the violations, study 3 suggests that the certainty effect plays a major role.
KW - Allais paradox
KW - Ambiguity aversion
KW - Ellsberg paradox
KW - Experiment
KW - Weak separability
UR - http://www.scopus.com/inward/record.url?scp=85066135270&partnerID=8YFLogxK
U2 - 10.1287/mnsc.2017.3010
DO - 10.1287/mnsc.2017.3010
M3 - Journal article
AN - SCOPUS:85066135270
VL - 65
SP - 1667
EP - 1677
JO - Management Science
JF - Management Science
SN - 0025-1909
IS - 4
ER -
ID: 374862769