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An Experimental Test of the Anscombe–Aumann Monotonicity Axiom
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An Experimental Test of the Anscombe–Aumann Monotonicity Axiom
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An Experimental Test of the Anscombe–Aumann Monotonicity Axiom
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Journal Article
An Experimental Test of the Anscombe–Aumann Monotonicity Axiom
2019
Overview
Most models of ambiguity aversion satisfy the Anscombe–Aumann monotonicity axiom. Monotonicity implies a weak form of separability of preferences across events that occur with unknown probability. We construct a test of weak separability by modifying the Allais paradox, adapting it to the Anscombe–Aumann framework. Three experimental studies are conducted. Study 1 finds frequent, systematic violations of weak separability in the lab. These findings replicate in study 2, where we employ a subject pool of online workers and use a natural rather than an artificial source of uncertainty. Investigating a potential explanation of the violations, study 3 suggests that the certainty effect plays a major role.
Data and the web appendix are available at
https://doi.org/10.1287/mnsc.2017.3010
.
This paper was accepted by Han Bleichrodt, decision analysis.
Publisher
INFORMS,Institute for Operations Research and the Management Sciences
Subject
