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Savage vs. Anscombe-Aumann: an experimental investigation of ambiguity frameworks

Jörg Oechssler and Alex Roomets ()
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Alex Roomets: Franklin and Marshall College

Theory and Decision, 2021, vol. 90, issue 3, No 5, 405-416

Abstract: Abstract The Savage and the Anscombe–Aumann frameworks are the two most popular approaches used when modeling ambiguity. The former is more flexible, but the latter is often preferred for its simplicity. We conduct an experiment where subjects place bets on the joint outcome of an ambiguous urn and a fair coin. We document that more than a third of our subjects make choices that are incompatible with Anscombe–Aumann for any preferences, while the Savage framework is flexible enough to account for subjects’ behaviors.

Keywords: Ellsberg paradox; Ambiguity; Experiment (search for similar items in EconPapers)
Date: 2021
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Working Paper: Savage vs. Anscombe-Aumann: An experimental investigation of ambiguity frameworks (2019) Downloads
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DOI: 10.1007/s11238-020-09778-w

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