A dynamic Ellsberg urn experiment

Ellsberg Meets Nash: the Ellsberg Task as a Game

In his PhD thesis, Ellsberg formulated strong experimental conditions for his proposed tests of subjective expected utility theory. Subjects should have no reason to consider the motives of the urn filler. Standard incentivized experiments do not meet these conditions. Instead of a one-person decision problem, the task can be perceived as a two-player game. One player chooses among the bets. Th...

Event-Separability in the Ellsberg urn

Ellsberg’s three-color urn involves two distinct sources of uncertainty— the color composition of the urn (which is subjective) and the identity of the drawn ball (which is objective)—and bets on it can involve mixed objective/subjective uncertainty. It is known that typical betting preferences on this urn violate both the Sure-Thing Principle and probabilistic sophistication over its mixed unc...

Smarter in the Long-Term: Diminishing Ambiguity Aversion in a Repeated Ellsberg Urn Task

Ambiguity aversion, games against nature, and dynamic consistency

Several papers, adopting an axiomatic approach to study decision making under ambiguity aversion, have produced conflicting predictions about how decision makers would behave in simple dynamic urn problems. We explore the concepts of ambiguity aversion and dynamic consistency, with examples of dynamic games against nature. Basically, a malevolent nature puts balls into the urn, and a fair natur...

Ambiguity 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 ...