Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/126604
Authors: 
Schneider, Florian
Schonger, Martin
Year of Publication: 
2015
Series/Report no.: 
Working Paper Series, University of Zurich, Department of Economics 207
Abstract: 
Most models of ambiguity aversion satisfy Anscombe-Aumann's Monotonicity axiom. This paper proposes a test of Monotonicity, the Allais Horse Race. It is an adaptation of the Allais paradox to a setting with both subjective and objective uncertainty. Viewed as a thought experiment, the Allais Horse Race allows for introspective assessment of Monotonicity. Implementing it as an incentivized experiment, we find that the modal choice of subjects violates Monotonicity in a specific, intuitive way. Overall, we find that models of ambiguity aversion that satisfy Monotonicity cannot describe the behavior of about half of all subjects.
Subjects: 
ambiguity aversion
monotonicity
Anscombe-Aumann
Allais paradox
experiments
JEL: 
D81
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

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