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| Type | Working Paper |
| Scope | Discipline-based scholarship |
| Title | An experimental test of the Anscombe-Aumann Monotonicity axiom |
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| Institution | University of Zurich |
| Series Name | Working paper series / Department of Economics |
| Number | 207 |
| ISSN | 1664-7041 |
| Number of Pages | 26 |
| Date | 2017 |
| Abstract Text | 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. |
| Official URL | http://www.econ.uzh.ch/static/wp/econwp207.pdf |
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| Keywords | Ambiguity aversion, monotonicity, Anscombe-Aumann, Allais paradox, experiments, Präferenz, Ambiguität, Aversion, Monotone Funktion, Experiment |
| Additional Information | Revised version ; Former title: Allais at the Horse Race: testing models of ambiguity aversion |