An Experimental Test of the Anscombe-Aumann Monotonicity Axiom

• 成果类型: Article
• 署名作者: Schneider, Florian H.; Schonger, Martin
• 署名单位: University of Zurich; Swiss Federal Institutes of Technology Domain; ETH Zurich
• 刊物名称: MANAGEMENT SCIENCE
• ISSN/ISSBN: 0025-1909
• DOI: 10.1287/mnsc.2017.3010
• 发表日期: 2019
• 页码: 1667-1677
• 关键词: Ambiguity aversion; weak separability; Allias paradox; Ellsberg paradox; experiment

摘要

Most models of ambiguity aversion satisfy the Anscombe-Aumann monotonicity axiom. Monotonicity implies a weak form of separability of preferences across events that occur with unknown probability. We construct a test of weak separability by modifying the Allais paradox, adapting it to the Anscombe-Aumann framework. Three experimental studies are conducted. Study 1 finds frequent, systematic violations of weak separability in the lab. These findings replicate in study 2, where we employ a subject pool of online workers and use a natural rather than an artificial source of uncertainty. Investigating a potential explanation of the violations, study 3 suggests that the certainty effect plays a major role.