Multidimensional Ellsberg

TitleMultidimensional Ellsberg
Publication TypeJournal Article
Year of Publication2015
AuthorsEliaz K, Ortoleva P
JournalManagement Science
Date Publishedaug
ISBN Number0025-1909
Keywordsa variation on ellsberg, ambiguity aversion, an experimental study of, and, attitudes towards am-, certain probabilities vs, ellsberg paradox, mul-, paper circulated under the, previous versions of this, tidimensional ambiguity, titles, un-, uncertain outcomes, uncertainty aversion
AbstractThe classical Ellsberg experiment presents individuals with a choice problem in which the probability of winning a prize is unknown (uncertain). In this paper, we study how individuals make choices between gambles in which the uncertainty is in different dimensions: the winning probability, the amount of the prize, the payment date, and the combinations thereof. Although the decision-theoretic models accommodate a rich variety of behaviors, we present experimental evidence that points at systematic behavioral patterns: (i) no uncertainty is preferred to uncertainty on any single dimension and to uncertainty on multiple dimensions, and (ii) "correlated" uncertainty on multiple dimensions is preferred to uncertainty on any single dimension.