Ellsberg revisited: An experimental study

Yoram Halevy*

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

329 Scopus citations

Abstract

An extension to Ellsberg's experiment demonstrates that attitudes to ambiguity and compound objective lotteries are tightly associated. The sample is decomposed into three main groups: subjective expected utility subjects, who reduce compound objective lotteries and are ambiguity neutral, and two groups that exhibit different forms of association between preferences over compound lotteries and ambiguity, corresponding to alternative theoretical models that account for ambiguity averse or seeking behavior.

Original languageAmerican English
Pages (from-to)503-536
Number of pages34
JournalEconometrica
Volume75
Issue number2
DOIs
StatePublished - Mar 2007
Externally publishedYes

Keywords

  • Anticipated utility
  • Bundling
  • Compound independence
  • Maxmin expected utility
  • Probabilistic sophistication
  • Rank dependent utility
  • Recursive utility
  • Reduction of compound lotteries nonexpected utility
  • Rule rationality
  • Uncertainty aversion

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