On the robustness of higher order attitudes to ambiguity framing

Camille Cornand, Maria Alejandra Erazo Diaz (), Béatrice Rey () and Adam Zylbersztejn ()
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Maria Alejandra Erazo Diaz: University of Bologna, Department of Economics
Béatrice Rey: Univ Lyon, Université Lyon 2, GATE UMR 5824, F-69130 Ecully, France
Adam Zylbersztejn: Univ Lyon, Université Lyon 2, GATE UMR 5824, F-69130 Ecully, France; research fellow at Vistula University Warsaw (AFiBV), Warsaw, Poland

No 2318, Working Papers from Groupe d'Analyse et de Théorie Economique Lyon St-Étienne (GATE Lyon St-Étienne), Université de Lyon

Abstract: In a context-free preference situation, we conduct a laboratory experiment in which we test higher order ambiguity attitudes (order 2, order 3, and order 4) using a simple model with two states of nature (good and bad). We compare ambiguity attitudes when the random variable capturing ambiguity is introduced on the probability associated with the good state of nature versus the bad state of nature. In addition, in the case of order 3, we compare ambiguity attitudes when the random variable capturing ambiguity is presented as two harms (as usual in decision theory) versus one harm and one favor. We first establish the theoretical prediction of a general consistency of ambiguity attitudes. Ceteris paribus, these attitudes should remain invariant with respect to (i) the state of nature to which ambiguity is associated, and to (ii) the type of the change (harm or favor) in the probability to which ambiguity is associated. Our empirical results systematically contradict this formal prediction pointing to the behavioral importance of ambiguity framing.

Keywords: Ambiguity attitudes; Higher order attitudes; Ambiguity aversion; Ambiguity prudence; Ambiguity temperance; Framing (search for similar items in EconPapers)
JEL-codes: C91 D81 (search for similar items in EconPapers)
Date: 2023
New Economics Papers: this item is included in nep-eur, nep-exp and nep-upt
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Working Paper: On the robustness of higher order attitudes to ambiguity framing (2023)
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