Experiments on Compound Risk in Relation to Simple Risk and to Ambiguity

• 成果类型: Article
• 署名作者: Abdellaoui, Mohammed; Klibanoff, Peter; Placido, Laetitia
• 署名单位: Hautes Etudes Commerciales (HEC) Paris; Centre National de la Recherche Scientifique (CNRS); Northwestern University; Paris School of Economics; Centre National de la Recherche Scientifique (CNRS); City University of New York (CUNY) System; Baruch College (CUNY)
• 刊物名称: MANAGEMENT SCIENCE
• ISSN/ISSBN: 0025-1909
• DOI: 10.1287/mnsc.2014.1953
• 发表日期: 2015
• 页码: 1306-1322
• 关键词: Ambiguity; Ellsberg paradox; reduction of compound lotteries

摘要

We conduct experiments measuring individual behavior under compound risk, simple risk, and ambiguity. We focus on (1) treatment of compound risks relative to simple risks and (2) the relationship between compound risk attitudes and ambiguity attitudes. We find that compound risks are valued differently than corresponding reduced simple risks. These differences measure compound risk attitudes. These attitudes display more aversion as the reduced probability of the winning event increases. Like Halevy [Halevy Y (2007) Ellsberg revisited: An experimental study. Econometrica 75:503-536], we find an association between compound risk reduction and ambiguity neutrality. However, in contrast to the almost perfect identification in Halevy's data, we find a substantially weaker relation in both directions. First, a majority of our ambiguity-neutral subjects fail to reduce compound risk. Second, almost a quarter of our subjects who reduce compound risk are nonneutral to ambiguity. All of the latter come from the more quantitatively sophisticated part of our subject pool. Data, as supplemental material, are available at http://dx.doi.org/10.1287/mnsc.2014.1953.