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|An experimental test of the Anscombe-Aumann Monotonicity axiom
|University of Zurich
|Working paper series / Department of Economics
|Number of Pages
|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.
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|Ambiguity aversion, monotonicity, Anscombe-Aumann, Allais paradox, experiments, Präferenz, Ambiguität, Aversion, Monotone Funktion, Experiment
|Revised version ; Former title: Allais at the Horse Race: testing models of ambiguity aversion