Savage vs. Anscombe-Aumann: an experimental investigation of ambiguity frameworks

The Savage and the Anscombe–Aumann frameworks are the two most popular approaches used when modeling ambiguity. The former is more flexible, but the latter is often preferred for its simplicity. We conduct an experiment where subjects place bets on the joint outcome of an ambiguous urn and a fair co...

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Published inTheory and decision Vol. 90; no. 3-4; pp. 405 - 416
Main Authors Oechssler, Jörg, Roomets, Alex
Format Journal Article
LanguageEnglish
Published New York, NY Springer US 01.05.2021
Springer Nature B.V
Subjects
Ambiguity
Behavioral/Experimental Economics
Economic Theory/Quantitative Economics/Mathematical Methods
Economics
Economics and Finance
Ellsberg paradox
Expected utility
Experiment
Experiments
Finance
Flexibility
Game Theory
Insurance
Management
Operations Research/Decision Theory
Preferences
Questionnaires
Random variables
Simplicity
Social and Behav. Sciences
Statistics for Business
Ellsberg paradox
Experiment
Ambiguity
Online AccessGet full text
ISSN1573-7187
0040-5833
1573-7187
DOI10.1007/s11238-020-09778-w

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Summary:The Savage and the Anscombe–Aumann frameworks are the two most popular approaches used when modeling ambiguity. The former is more flexible, but the latter is often preferred for its simplicity. We conduct an experiment where subjects place bets on the joint outcome of an ambiguous urn and a fair coin. We document that more than a third of our subjects make choices that are incompatible with Anscombe–Aumann for any preferences, while the Savage framework is flexible enough to account for subjects’ behaviors.
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ISSN:1573-7187
0040-5833
1573-7187
DOI:10.1007/s11238-020-09778-w