Testing Ambiguity Models through the Measurement of Probabilities for Gains and Losses

• 成果类型: Article
• 署名作者: Baillon, Aurelien; Bleichrodt, Han
• 署名单位: Erasmus University Rotterdam; Erasmus University Rotterdam - Excl Erasmus MC
• 刊物名称: AMERICAN ECONOMIC JOURNAL-MICROECONOMICS
• ISSN/ISSBN: 1945-7669
• DOI: 10.1257/mic.20130196
• 发表日期: 2015
• 页码: 77-100
• 关键词: expected utility; decision-making; uncertainty; RISK; REPRESENTATION; imprecise; attitudes

摘要

This paper reports on two experiments that test the descriptive validity of ambiguity models using a natural source of uncertainty (the evolution of stock indices) and both gains and losses. We observed violations of probabilistic sophistication, violations that imply a fourfold pattern of ambiguity attitudes: ambiguity aversion for likely gains and unlikely losses and ambiguity seeking for unlikely gains and likely losses. Our data are most consistent with prospect theory and, to a lesser extent, alpha-maxmin expected utility and Choquet expected utility. Models with uniform ambiguity attitudes are inconsistent with most of the observed behavioral patterns.