An experimental test of the Anscombe-Aumann Monotonicity axiom
Florian Schneider and
No 207, ECON - Working Papers from Department of Economics - University of Zurich
Most models of ambiguity aversion satisfy Anscombe-Aumann’s Monotonicity axiom. Monotonicity imposes separability of preferences across events that occur with unknown probability. We construct a test of Monotonicity by modifying the Allais paradox to a setting with both subjective and objective uncertainty. Two experimental studies are conducted: while study 1 uses U.S. online workers and a natural source of ambiguity, study 2 employs European students and an Ellsberg urn. In both studies, modal behavior violates Monotonicity in a specific, intuitive way. Overall, our data suggest that violations of Monotonicity are as prevalent as violations of von Neumann-Morgenstern’s Independence axiom.
Keywords: Ambiguity aversion; monotonicity; Anscombe-Aumann; Allais paradox; experiments (search for similar items in EconPapers)
JEL-codes: D81 (search for similar items in EconPapers)
Date: 2015-10, Revised 2017-05
New Economics Papers: this item is included in nep-cbe, nep-exp and nep-upt
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Persistent link: https://EconPapers.repec.org/RePEc:zur:econwp:207
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