Testing constant absolute and relative ambiguity aversion

• 成果类型: Article
• 署名作者: Baillon, Aurelien; Placido, Laetitia
• 署名单位: Erasmus University Rotterdam - Excl Erasmus MC; Erasmus University Rotterdam; City University of New York (CUNY) System; Baruch College (CUNY)
• 刊物名称: JOURNAL OF ECONOMIC THEORY
• ISSN/ISSBN: 0022-0531
• DOI: 10.1016/j.jet.2019.02.006
• 发表日期: 2019
• 页码: 309-332
• 关键词: Ambiguity aversion; Ellsberg; CARA; CRRA; Ambiguity models

摘要

Recent applications have demonstrated the crucial role of decreasing absolute ambiguity aversion in financial and saving decisions. Yet, most ambiguity models predict that ambiguity aversion remains constant when individuals become better off overall. We propose the first tests of constant absolute and relative ambiguity aversion, using simple variations of the Ellsberg paradoxes. Our tests are axiomatically founded and grounded in the theoretical literature. We implemented these tests in an experiment. Our results call for the use of ambiguity models that can accommodate decreasing aversion toward ambiguity. (C) 2019 The Authors. Published by Elsevier Inc.