An experimental test of the anscombe-aumann monotonicity axiom
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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.
Originalsprog | Engelsk |
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Tidsskrift | Management Science |
Vol/bind | 65 |
Udgave nummer | 4 |
Sider (fra-til) | 1667-1677 |
Antal sider | 11 |
ISSN | 0025-1909 |
DOI | |
Status | Udgivet - apr. 2019 |
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