An experimental test of the anscombe-aumann monotonicity axiom

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An experimental test of the anscombe-aumann monotonicity axiom. / Schneider, Florian H.; Schonger, Martin.

I: Management Science, Bind 65, Nr. 4, 04.2019, s. 1667-1677.

Publikation: Bidrag til tidsskrift › Tidsskriftartikel › Forskning › fagfællebedømt

Harvard

Schneider, FH & Schonger, M 2019, 'An experimental test of the anscombe-aumann monotonicity axiom', Management Science, bind 65, nr. 4, s. 1667-1677. https://doi.org/10.1287/mnsc.2017.3010

APA

Schneider, F. H., & Schonger, M. (2019). An experimental test of the anscombe-aumann monotonicity axiom. Management Science, 65(4), 1667-1677. https://doi.org/10.1287/mnsc.2017.3010

Vancouver

Schneider FH, Schonger M. An experimental test of the anscombe-aumann monotonicity axiom. Management Science. 2019 apr.;65(4):1667-1677. https://doi.org/10.1287/mnsc.2017.3010

Author

Schneider, Florian H. ; Schonger, Martin. / An experimental test of the anscombe-aumann monotonicity axiom. I: Management Science. 2019 ; Bind 65, Nr. 4. s. 1667-1677.

Bibtex

@article{cd3e97e92cf947d9b77cb859e5e624e4,
title = "An experimental test of the anscombe-aumann monotonicity axiom",
abstract = "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.",
keywords = "Allais paradox, Ambiguity aversion, Ellsberg paradox, Experiment, Weak separability",
author = "Schneider, {Florian H.} and Martin Schonger",
note = "Publisher Copyright: {\textcopyright} 2018 INFORMS.",
year = "2019",
month = apr,
doi = "10.1287/mnsc.2017.3010",
language = "English",
volume = "65",
pages = "1667--1677",
journal = "Management Science",
issn = "0025-1909",
publisher = "Institute for Operations Research and the Management Sciences (I N F O R M S)",
number = "4",

}

RIS

TY - JOUR

T1 - An experimental test of the anscombe-aumann monotonicity axiom

AU - Schneider, Florian H.

AU - Schonger, Martin

N1 - Publisher Copyright: © 2018 INFORMS.

PY - 2019/4

Y1 - 2019/4

N2 - 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.

AB - 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.

KW - Allais paradox

KW - Ambiguity aversion

KW - Ellsberg paradox

KW - Experiment

KW - Weak separability

UR - http://www.scopus.com/inward/record.url?scp=85066135270&partnerID=8YFLogxK

U2 - 10.1287/mnsc.2017.3010

DO - 10.1287/mnsc.2017.3010

M3 - Journal article

AN - SCOPUS:85066135270

VL - 65

SP - 1667

EP - 1677

JO - Management Science

JF - Management Science

SN - 0025-1909

IS - 4

ER -

ID: 374862769