Testing ambiguity theories with a mean-preserving design

doi:10.3982/QE460

CORC > 上海财经大学 > 上海财经大学

	Testing ambiguity theories with a mean-preserving design
	Yang, Chun-Lei 1,2; Yao, Lan 3
刊名	QUANTITATIVE ECONOMICS
	2017-03
卷号	8 期号:1 页码:219-238
关键词	Ambiguity Ellsberg paradox expected utility experiment mean preserving monotonicity partial ambiguity second-order risk source premium
ISSN号	1759-7331
DOI	10.3982/QE460
英文摘要	Prominent models such as maxmin expected utility/alpha-multiprior (MEU/alpha-MP) and Klibanoff, Marinacci, and Mukerji (KMM) interpret ambiguity aversion as aversion against second-order risks associated with ambiguous acts. We design an experiment where the decision maker draws twice with replacement in the typical Ellsberg two-color urns, but with a different color winning each time. Given this set of mean-preserving prospects, MEU/alpha-MP, KMM, and Savage's subjective expected utility all predict unequivocally that risk-averse decision makers (DMs) will avoid the 50-50 urn that exhibits the highest risk conceivable, while risk-seeking DMs do the opposite. However, we observe a substantial number of violations in the experiments. It appears that the ambiguity premium is partially paid to avoid the ambiguity issue per se, which is distinct from notions of second-order risk. This finding is robust even when there is only partial ambiguity, and is applicable to all models that satisfy a monotonicity condition.
WOS研究方向	Business & Economics
语种	英语
出版者	WILEY
WOS记录号	WOS:000399323900008
内容类型	期刊论文
源URL	[http://10.2.47.112/handle/2XS4QKH4/1016]
专题	上海财经大学
通讯作者	Yang, Chun-Lei
作者单位	1.Nanjing Audit Univ, Inst Social & Econ Res, Nanjing, Jiangsu, Peoples R China; 2.Acad Sinica, Res Ctr Humanities & Social Sci, Taipei, Taiwan; 3.Shanghai Univ Finance & Econ, Sch Econ, Shanghai, Peoples R China
推荐引用方式 GB/T 7714	Yang, Chun-Lei,Yao, Lan. Testing ambiguity theories with a mean-preserving design[J]. QUANTITATIVE ECONOMICS,2017,8(1):219-238.
APA	Yang, Chun-Lei,&Yao, Lan.(2017).Testing ambiguity theories with a mean-preserving design.QUANTITATIVE ECONOMICS,8(1),219-238.
MLA	Yang, Chun-Lei,et al."Testing ambiguity theories with a mean-preserving design".QUANTITATIVE ECONOMICS 8.1(2017):219-238.