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Savage vs. Anscombe-Aumann: An experimental investigation of ambiguity frameworks

Oechssler, Jörg ; Roomets, Alex

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Abstract

The Savage and the Anscombe-Aumann frameworks are the two most popular approaches used when modeling ambiguity. The former is more flexible, but the latter is often preferred for its simplicity. We conduct an experiment where subjects place bets on the joint outcome of an ambiguous urn and a fair coin. We document that more than a third of our subjects make choices that are incompatible with Anscombe-Aumann for any preferences, while the Savage framework is flexible enough to accountfor subjects' behaviors.

Item Type: Working paper
Series Name: Discussion Paper Series / University of Heidelberg, Department of Economics
Volume: 0672
Place of Publication: Heidelberg
Date Deposited: 18 Oct 2019 09:53
Date: October 2019
Number of Pages: 15
Faculties / Institutes: The Faculty of Economics and Social Studies > Alfred-Weber-Institut for Economics
Subjects: 330 Economics
Uncontrolled Keywords: Ellsberg paradox, ambiguity, experiment
Schriftenreihe ID: Discussion Paper Series / University of Heidelberg, Department of Economics
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