期刊
EUROPEAN ECONOMIC REVIEW
卷 101, 期 -, 页码 268-283出版社
ELSEVIER SCIENCE BV
DOI: 10.1016/j.euroecorev.2017.09.016
关键词
Ambiguity aversion; Decision under uncertainty; Ellsberg experiments
类别
资金
- Center for Advanced Studies at the University of Munich
- German Science Foundation (DFG) [TR 1405/1-1]
Assuming universal ambiguity aversion, an extensive theoretical literature studies how ambiguity can account for market anomalies from the perspective of expected utility-based theories. We provide a systematic experimental assessment of ambiguity attitudes in different likelihood ranges, and in the gain domain, the loss domain and with mixed outcomes. We draw on a unified framework to elicit preferences across these domains. We replicate the usual finding of ambiguity aversion for moderate likelihood gains. However, when introducing losses or lower likelihoods, we observe predominantly ambiguity neutrality or seeking, rejecting universal ambiguity aversion. (C) 2017 Elsevier B.V. All rights reserved.
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