Reference Dependent Ambiguity Aversion: Theory and Experiment
نویسندگان
چکیده
منابع مشابه
Ambiguity Aversion and Auction Theory
This paper considers when the utility function of the bidders is ambiguity averse, how does the bidding strategy differ in four classical auction mechanisms. In particular, if there is no information affiliation, i.e., when first order sealed auction is equivalent to English auction in terms of bidding, bidders may bid higher or lower relative to ambiguity neutral case. From the seller’s point ...
متن کاملAmbiguity and Ambiguity Aversion
Consider the following choice problem, known as “Ellsberg’s three-color urn example”, or simply the “Ellsberg Paradox” (Ellsberg [7]). An urn contains 30 red balls, and 60 green and blue balls, in unspecified proportions; subjects are asked to compare (i) a bet on a red draw vs. a bet on a green draw, and (ii) a bet on a red or blue draw vs. a bet on a green or blue draw. If the subject wins a ...
متن کاملEstimating Ambinguity Aversion in a Portfolio Choice Experiment Estimating Ambiguity Aversion in a Portfolio Choice Experiment *
We report a laboratory experiment that enables us to estimate parametric models of ambiguity aversion at the level of the individual subject. We use two main specifications, a “kinked” specification that nests Maxmin Expected Utility, Choquet Expected Utility, αMaxmin Expected Utility, and Contraction Expected Utility and a “smooth” specification that nests the various theories referred to coll...
متن کاملReference dependent ambiguity
Motivated by experimental and empirical evidence, I develop a theoretical framework to study how reference-points – such as a status quo, endowment or default option – can distort the way an individual perceives and responds to ambiguity. I use this framework to characterize various models of reference-dependent ambiguity, and provide behavioral foundations for comparative ambiguity attitudes a...
متن کاملAmbiguity Aversion in Game Theory: Experimental Evidence
This paper studies games with ambiguity averse agents, focusing on the relationship between preferences, beliefs over opponent’s preferences, and behaviour in normal form games. Using a carefully chosen 3×2 normal form game we find that a subject’s risk and ambiguity preferences affect the subject’s behaviour in normal form games in the direction suggested by economic theories. In contrast, we ...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2011
ISSN: 1556-5068
DOI: 10.2139/ssrn.1972293