Learning under Ambiguity: An Experimental Investigation *

Apprentissage en présence d'incertitude ambigue

M. Abdellaoui (), B. Hill (), E. Kemel () and H. Maafi ()
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M. Abdellaoui: HEC Paris - Ecole des Hautes Etudes Commerciales, CNRS - Centre National de la Recherche Scientifique
B. Hill: HEC Paris - Recherche - Hors Laboratoire - HEC Paris - Ecole des Hautes Etudes Commerciales, CNRS - Centre National de la Recherche Scientifique, GREGH - Groupement de Recherche et d'Etudes en Gestion à HEC - HEC Paris - Ecole des Hautes Etudes Commerciales - CNRS - Centre National de la Recherche Scientifique
E. Kemel: HEC Paris - Ecole des Hautes Etudes Commerciales, CNRS - Centre National de la Recherche Scientifique
H. Maafi: UP8 - Université Paris 8

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Abstract: We investigate learning in ambiguous situations where subjects bet on a winning event whose probability depends on an unknown proportion of winning chips in an urn. Varying the number of draws prior to choice allows us to "scan" ambiguity attitudes across differing amounts of information. By separately eliciting posterior beliefs in addition to matching probabilities, we disentangle the impact of learning on ambiguity attitude from its impact on beliefs, including divergences from Bayesian update. Both "raw data" and smooth ambiguity model-based analyses show that learning affects ambiguity attitude in the direction of ambiguity neutrality. Moreover, at small sample sizes, the impact of these changes on preferences is comparable to that of the divergence from Bayesian update.

Keywords: Ambiguity attitude indices; Learning; Bayesian updating; Sampling. JEL Codes: D80; D81; D83; Smooth ambiguity preferences; Ambiguity aversion; Ambiguity; Ambiguity Ambiguity aversion Smooth ambiguity preferences Ambiguity attitude indices Learning Bayesian updating Sampling. JEL Codes: D80 D81 D83 (search for similar items in EconPapers)
Date: 2025-06-19
New Economics Papers: this item is included in nep-exp and nep-upt
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Published in Journal of Economic Theory, 2025, Journal of Economic Theory, 230, pp.106093. ⟨10.1016/j.jet.2025.106093⟩

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-05541433

DOI: 10.1016/j.jet.2025.106093

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