Disentangling Drivers of Ambiguity Attitudes

Mohammed Abdellaoui (), Brian Hill and Sarat Chandra Akella ()
Additional contact information
Mohammed Abdellaoui: HEC Paris
Sarat Chandra Akella: HEC Paris

No 1530, HEC Research Papers Series from HEC Paris

Abstract: A popular framework for ambiguity represents alternatives of choice as twostage gambles reflecting the uncertainty about the true probability on the state space. In this framework, ambiguity-averse behaviour could be driven by differences in utilities between stages-as in the smooth ambiguity model (Klibanoff et al., 2005)-or by non-linear probability weighting-as in a line of research initiated by Segal (1987). The present paper investigates the relevance of these distinct drivers of ambiguity attitudes in a two-stage setup by estimating a generalization of the smooth ambiguity model incorporating probability weighting. Our experiment reveals the relevance of both factors to describing ambiguity attitudes. We also report evidence of stakes-dependence of ambiguity attitudes, as implied by utility-driven approaches.

Keywords: Ambiguity; ambiguity aversion; probability weighting; rank-dependent utility; recursive expected utility; smooth ambiguity model (search for similar items in EconPapers)
JEL-codes: C11 D80 D81 D83 (search for similar items in EconPapers)
Pages: 65 pages
Date: 2024-08-26
New Economics Papers: this item is included in nep-upt
References: Add references at CitEc
Citations:

Downloads: (external link)
https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4916177 Full text (text/html)

Related works:
Working Paper: Disentangling Drivers of Ambiguity Attitudes * (2024)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ebg:heccah:1530

DOI: 10.2139/ssrn.4916177

Access Statistics for this paper

More papers in HEC Research Papers Series from HEC Paris HEC Paris, 78351 Jouy-en-Josas cedex, France. Contact information at EDIRC.
Bibliographic data for series maintained by Antoine Haldemann ().