DISCRIMINATING BETWEEN MODELS OF AMBIGUITY ATTITUDE: A QUALITATIVE TEST

• 成果类型: Article
• 署名作者: Cubitt, Robin; van de Kuilen, Gijs; Mukerji, Sujoy
• 署名单位: University of Nottingham; Tilburg University; University of London; Queen Mary University London
• 刊物名称: JOURNAL OF THE EUROPEAN ECONOMIC ASSOCIATION
• ISSN/ISSBN: 1542-4766
• DOI: 10.1093/jeea/jvz005
• 发表日期: 2020
• 页码: 708-749
• 关键词: multiple prior models; expected utility; decision-making; aversion; preferences; uncertainty; CHOICE; REPRESENTATION; elicitation; definition

摘要

During recent decades, many new models have emerged in pure and applied economic theory according to which agents' choices may be sensitive to ambiguity in the uncertainty that faces them. The exchange between Epstein (2010) and Klibanoff et al. (2012) identified a notable behavioral issue that distinguishes sharply between two classes of models of ambiguity sensitivity that are importantly different. The two classes are exemplified by the alpha-maxmin expected utility (MEU) model and the smooth ambiguity model, respectively; and the issue is whether or not a desire to hedge independently resolving ambiguities contributes to an ambiguity-averse agent's preference for a randomized act. Building on this insight, we implement an experiment whose design provides a qualitative test that discriminates between the two classes of models. Among subjects identified as ambiguity sensitive, we find greater support for the class exemplified by the smooth ambiguity model; the relative support is stronger among subjects identified as ambiguity averse. This finding has implications for applications that rely on specific models of ambiguity preference.