Ambiguity Attitudes

Trautmann, Stefan T.; Kuilen, Gijs van de

doi:10.1002/9781118468333.ch3

Cited by 182 publications

(127 citation statements)

References 98 publications

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“…For uncertain events with high likelihood, we find that most respondents make ambiguity-averse choices (58% of the ALP sample), but for uncertain events with low likelihoods ambiguity-seeking choices prevail (60%). These results are consistent with prior studies, mostly conducted in the laboratory with students, summarized in Trautmann and van de Kuilen (2015).…”

Section: Introductionsupporting

confidence: 93%

Estimating ambiguity preferences and perceptions in multiple prior models: Evidence from the field

et al. 2015

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We develop a tractable method to estimate multiple prior models of decision-making under ambiguity. In a representative sample of the U.S. population, we measure ambiguity attitudes in the gain and loss domains. We find that ambiguity aversion is common for uncertain events of moderate to high likelihood involving gains, but ambiguity seeking prevails for low likelihoods and for losses. We show that choices made under ambiguity in the gain domain are best explained by the α-MaxMin model, with one parameter measuring ambiguity aversion (ambiguity preferences) and a second parameter quantifying the perceived degree of ambiguity (perceptions about ambiguity). The ambiguity aversion parameter α is constant and prior probability sets are asymmetric for low and high likelihood events. The data reject several other models, such as MaxMin and MaxMax, as well as symmetric probability intervals. Ambiguity aversion and the perceived degree of ambiguity are both higher for men and for the college-educated. Ambiguity aversion (but not perceived ambiguity) is also positively related to risk aversion. In the loss domain, we find evidence of reflection, implying that ambiguity aversion for gains tends to reverse into ambiguity seeking for losses. Our model’s estimates for preferences and perceptions about ambiguity can be used to analyze the economic and financial implications of such preferences.

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Section: Introductionsupporting

confidence: 93%

Estimating ambiguity preferences and perceptions in multiple prior models: Evidence from the field

et al. 2015

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“…For recent reviews of the experimental literature see Hey (2014); Trautmann and van de Kuilen (2015) 2 Also see Abdellaoui, Klibanoff, and Placido (2015).…”

mentioning

confidence: 99%

An Experimental Test of the Anscombe-Aumann Monotonicity Axiom

Schneider

Schonger

2017

SSRN Journal

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Standard-Nutzungsbedingungen:Die Dokumente auf EconStor dürfen zu eigenen wissenschaftlichen Zwecken und zum Privatgebrauch gespeichert und kopiert werden.Sie dürfen die Dokumente nicht für öffentliche oder kommerzielle Zwecke vervielfältigen, öffentlich ausstellen, öffentlich zugänglich machen, vertreiben oder anderweitig nutzen.Sofern die Verfasser die Dokumente unter Open-Content-Lizenzen (insbesondere CC-Lizenzen) zur Verfügung gestellt haben sollten, gelten abweichend von diesen Nutzungsbedingungen die in der dort genannten Lizenz gewährten Nutzungsrechte. Abstract. Most models of ambiguity aversion satisfy Anscombe-Aumann's Monotonicity axiom. This paper proposes a test of Monotonicity, the Allais Horse Race. It is an adaptation of the Allais paradox to a setting with both subjective and objective uncertainty. Viewed as a thought experiment, the Allais Horse Race allows for introspective assessment of Monotonicity. Implementing it as an incentivized experiment, we find that the modal choice of subjects violates Monotonicity in a specific, intuitive way. Overall, we find that models of ambiguity aversion that satisfy Monotonicity cannot describe the behavior of about half of all subjects. Terms of use: Documents in EconStor may

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“…In a positive dimension, the findings of this paper raise the empirical question whether choices of decisionmakers are compatible or in conflict with the stability of set inclusion of beliefs. In a similar direction, recent experimental evidence shows that some individuals prefer ambiguous over risky bets, especially for unlikely events and losses (Trautmann and Kuilen 2015). This is interpreted as ambiguity seeking.…”

Section: Concluding Discussionmentioning

confidence: 68%

Ambiguity aversion under maximum-likelihood updating

Heyen

2017

Theory Decis

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Maximum-likelihood updating (MLU) is a well-known approach for extending static ambiguity sensitive preferences to dynamic set-ups. This paper develops an example in which MLU induces an ambiguity averse maxmin expected utility (MEU) decision-maker to (1) prefer a bet on an ambiguous over a risky urn and (2) be more willing to bet on the ambiguous urn compared to an (ambiguity neutral) subjective expected utility (SEU) decision-maker. This is challenging, since prior to observing (symmetric) draws from the urns, the MEU decision-maker (in line with the usual notion of ambiguity aversion) actually preferred the risky over the ambiguous bet and was less willing to bet on the ambiguous urn than the SEU decision-maker. The identified switch in betting preferences is not due to a violation of dynamic consistency or consequentialism. Rather, it results from MLU's selection of extreme priors, causing a violation of the stability of set inclusion over the course of the updating process.

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Ambiguity Attitudes

Cited by 182 publications

References 98 publications

Estimating ambiguity preferences and perceptions in multiple prior models: Evidence from the field

Estimating ambiguity preferences and perceptions in multiple prior models: Evidence from the field

An Experimental Test of the Anscombe-Aumann Monotonicity Axiom

Ambiguity aversion under maximum-likelihood updating

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