An Ellsberg paradox for ambiguity aversion

[christop...@uni-graz.at]

An Ellsberg paradox for ambiguity aversion

Christoph Kuzmics, Brian W. Rogers, Xiannong Zhang

The 1961 Ellsberg paradox is typically seen as an empirical challenge to the subjective expected utility framework. Experiments based on Ellsberg's design have spawned a variety of new approaches, culminating in a new paradigm represented by, now classical, models of ambiguity aversion. We design and implement a decision-theoretic lab experiment that is extremely close to the original Ellsberg design and in which, empirically, subjects make choices very similar to those in the Ellsberg experiments. In our environment, however, these choices cannot be rationalized by any of the classical models of ambiguity aversion.

available at https://arxiv.org/abs/2212.03603

Comments highly welcome. Best wishes,

Christoph

[morellimas...@gmail.com]

Strange, I don’t think Sanjeev was thinking about the elsberg paradox…

 

 

Massimo Morelli

Professor of Political Science and Economics

Fellow of the Econometric Society and Society for the Advancement of Economic Theory

http://massimomorelli.eu/

Director of PERICLES

www.bafficarefin.unibocconi.eu\pericles

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[Jean-Marc Tallon]

Dear Christoph, dear all,

Thanks for this paper. Brian Jabarian, currently on the job market, has a paper (with Simon Lazarus) that contains a very similar experiment. They find on a large online sample (the experiment was executed during covid times) results that are very much in line with what you find; they also do other treatments and explore possible explanations. It can be found here.

Best wishes,
Jean-Marc

"christop...@uni-graz.at" <christop...@uni-graz.at> a écrit :

An Ellsberg paradox for ambiguity aversion

Christoph Kuzmics,MailScanner soupçonne le lien suivant d'être une tentative de fraude de la part de "arxiv.org"  Brian W. Rogers, Xiannong Zhang

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Jean-Marc Tallon
Paris School of Economics - CNRS
48 Bd Jourdan
75014 Paris 14
France
Tel: +33 (0)1 80 52 16 91
webpage: http://www.parisschoolofeconomics.eu/fr/tallon-jean-marc/

[Kuzmics, Christoph (christoph.kuzmics@uni-graz.at)]

Dear Jean-Marc,

thank you for pointing this out! We will look at Brian and Simon's paper. The paper I just circulated is, by the way, a streamlined and refocussed version of one half of our 2019/2020 working paper entitled "Is Ellsberg behavior evidence of ambiguity aversion?" available at https://ssrn.com/abstract=3437331.

Best wishes,

Christoph

Christoph Kuzmics
https://homepage.uni-graz.noclick_at/de/christoph.kuzmics/
Professor of Microeconomics
School of Business, Economics, and Social Sciences
and Complexity of Life (COLIBRI)
University of Graz
blog: https://gametheory.noclick_life/

---

Von: decision_t...@googlegroups.com <decision_t...@googlegroups.com> im Auftrag von Jean-Marc Tallon <Jean-Mar...@univ-paris1.fr>
Gesendet: Sonntag, 18. Dezember 2022 12:14
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Cc: Brian Jabarian
Betreff: [Caution: Message contains Redirect URL] Re: [DT_Forum] An Ellsberg paradox for ambiguity aversion

 

Dear Christoph, dear all,

Thanks for this paper. Brian Jabarian, currently on the job market, has a paper (with Simon Lazarus) that contains a very similar experiment. They find on a large online sample (the experiment was executed during covid times) results that are very much in line with what you find; they also do other treatments and explore possible explanations. It can be found here.

Best wishes,
Jean-Marc

"christop...@uni-graz.at" <christop...@uni-graz.at> a écrit :

An Ellsberg paradox for ambiguity aversion

Christoph Kuzmics,MailScanner soupçonne le lien suivant d'être une tentative de fraude de la part de "arxiv.org"  Brian W. Rogers, Xiannong Zhang

 

The 1961 Ellsberg paradox is typically seen as an empirical challenge to the subjective expected utility framework. Experiments based on Ellsberg's design have spawned a variety of new approaches, culminating in a new paradigm represented by, now classical, models of ambiguity aversion. We design and implement a decision-theoretic lab experiment that is extremely close to the original Ellsberg design and in which, empirically, subjects make choices very similar to those in the Ellsberg experiments. In our environment, however, these choices cannot be rationalized by any of the classical models of ambiguity aversion.

 

available at https://arxiv.noclick_org/abs/2212.03603

 

Comments highly welcome. Best wishes,

Christoph

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Jean-Marc Tallon
Paris School of Economics - CNRS
48 Bd Jourdan
75014 Paris 14
France
Tel: +33 (0)1 80 52 16 91
webpage: http://www.parisschoolofeconomics.eu/fr/tallon-jean-marc/

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[Peter Wakker]

Dear all, 

 

The annotated bibliography at 

 

http://personal.eur.nl/wakker/ra/course_ra_wakker.htm 

http://personal.eur.nl/wakker/ra/course_ra_wakker.htm 

 

has a keyword 

criticism of monotonicity in Anscombe-Aumann (1963) for ambiguity 

 

giving a dozen or so papers criticizing or falsifying Anscombe-Aumann monotonicity. 

 

 

Best, Peter 

 

[Peter Wakker]

Sorry wrong URL address. It should be

http://personal.eur.nl/wakker/refs/webrfrncs.docx 

Again, sorry.

Peter

[christop...@uni-graz.at]

Thank you! We do cite the most related of these papers, but we could possibly cite more. The greatest design for directly testing the dominance / monotonicity axiom in this literature to date, in my opinion, by the way, is the paper by

C.-L. Yang and L. Yao. Testing ambiguity theories with a mean-preserving design. Quantitative Economics, 8(1):219–238, 2017.

We do not claim to be the first to reject monotonicity with a suitable experimental design. The contribution of our paper, if there is one, is that we found a design that is extremely close to that of the original Ellsberg two-color experiment, in which subjects behave essentially as in the original Ellsberg experiment, and yet, in our design these choices are not only inconsistent with SEU, but also with all ambiguity aversion models that satisfy monotonicity. We feel that this suggests that also the original Ellsberg behavior is probably driven by considerations other than ambiguity aversion as captured by monotone preference models. 

Best wishes,

Christoph