Revealing a preference for mixtures: An experimental study of risk

Using a revealed preference approach, we conduct an experiment where subjects make choices from linear convex budgets in the domain of risk. We find that many individuals prefer mixtures of lotteries in ways that systematically rule out expected utility behavior. We explore the extent to which an individual's preference to choose mixtures is related to a preference for randomization by comparing choices from a convex choice task to the decisions made in a repeated discrete choice task. We find that a preference to mix is positively correlated with behavior from repeated discrete choice tasks.

Automated summary

Using a revealed preference approach, the study investigates individuals' choices in the domain of risk and finds that many people prefer mixtures of lotteries over expected utility behavior. The study also explores the correlation between the preference to choose mixtures and the preference for randomization.