The impact of statistical learning on violations of the sure-thing principle
Nicky Nicholls (),
Aylit Romm () and
Additional contact information
Nicky Nicholls: Department of Economics, University of Pretoria
Aylit Romm: School of Economic and Business Sciences, University of the Witwatersrand, Johannesburg, South Africa
No 201364, Working Papers from University of Pretoria, Department of Economics
This paper experimentally tests whether violations of Savage's (1954) subjective expected utility theory decrease if the ambiguity of an uncertain decision situation is reduced through statistical learning. Because our data does not show such a decrease, existing models which formalize ambiguity within an Anscombe-Aumann (1963) framework--thereby reducing to expected utility theory in the absence of ambiguity--are violated. In contrast, axiomatic models of prospect theory can accommodate our experimental findings because they allow for violations of von Neumann and Morgenstern's (1947) independence axiom whenever uncertain decision situations transform into risky decision situations for which probabilities are known.
Keywords: Prospect Theory; Choquet Expected Utility Theory; Multiple Priors Expected Utility Theory; Sure Thing Principle; Independence Axiom (search for similar items in EconPapers)
JEL-codes: C91 D81 (search for similar items in EconPapers)
Pages: 26 pages
New Economics Papers: this item is included in nep-upt
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3) Track citations by RSS feed
Downloads: (external link)
Journal Article: The impact of statistical learning on violations of the sure-thing principle (2015)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:pre:wpaper:201364
Access Statistics for this paper
More papers in Working Papers from University of Pretoria, Department of Economics Contact information at EDIRC.
Bibliographic data for series maintained by Rangan Gupta ().