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dc.contributor.author
Guetlein, Marie-Charlotte
dc.contributor.supervisor
Bommier, Antoine
dc.contributor.supervisor
Mimra, Wanda
dc.date.accessioned
2017-08-22T09:04:44Z
dc.date.available
2017-08-22T08:49:40Z
dc.date.available
2017-08-22T09:04:44Z
dc.date.issued
2017
dc.identifier.uri
http://hdl.handle.net/20.500.11850/179562
dc.identifier.doi
10.3929/ethz-b-000179562
dc.description.abstract
This dissertation discusses selected aspects of choice behavior under risk and ambiguity in theory and laboratory experiments. The first chapter briefly introduces the Ellsberg paradoxes and the economic literature on choice under ambiguity that has emerged in response to them. In particular, the chapter shows how Ellsberg's thought experiments challenge the subjective expected utility hypothesis and the preference axioms underlying it. It then describes how alternative preference models can accommodate the Ellsberg paradoxes and more generally ambiguity averse behavior. Chapter 2 focusses on the smooth ambiguity model by Klibanoff, Marinacci, and Mukerji (2005). The chapter first suggests a characterization of increases in risk aversion within the smooth ambiguity model. It then shows that an increase in risk aversion is qualitatively different from that under expected utility, due to the incomplete separation between risk and ambiguity attitude. The chapter notably clarifies how ambiguity perception and attitude depend on risk aversion. A portfolio choice problem illustrates that comparative statics results on risk aversion in the smooth ambiguity model can differ from those obtained under the standard expected utility framework. In chapter 3, I present a method to systematically test independence axioms and compare decisions under risk and under ambiguity in laboratory experiments. Using an Anscombe-Aumann setting, I show that acts and mixture operations between acts can be represented in an intuitive and straightforward way using Ellsberg urns. Consequently, decision makers' choices between bets on Ellsberg urns directly reveal preferences over Anscombe-Aumann acts and possibly violations of independence. Importantly, the same urns can be used to observe choices under risk and under ambiguity: Under risk, the composition of the urns is revealed to the decision maker, while under ambiguity it is not. The design is thus suited to compare violations of independence under risk to violations of independence under ambiguity. In chapter 4, I apply the method developed in chapter 3 to an incentivized laboratory experiment. The experiment is designed to compare Allais-type violations of independence under risk and under ambiguity. I find systematic violation of independence due to Allais-type common ratio effects under ambiguity but not under risk. At the same time, I do not observe strong evidence for systematic violations of independence due to Allais-type common consequence effects either under risk or under ambiguity. The results suggest that ambiguity models which are compatible with common ratio effects have a descriptive advantage over models which are not. Moreover, the results indicate that systematic violations of independence - and hence deviation from expected utility - are more prominent under ambiguity than under risk.
en_US
dc.language.iso
en
en_US
dc.publisher
ETH Zurich
en_US
dc.rights.uri
http://rightsstatements.org/page/InC-NC/1.0/
dc.subject
Microeconomics
en_US
dc.subject
Decision theory
en_US
dc.subject
Experimental economics
en_US
dc.subject
Ambiguity
en_US
dc.title
Essays on decision-making under risk and ambiguity in theory and laboratory experiments
en_US
dc.type
Doctoral Thesis
dc.rights.license
In Copyright - Non-Commercial Use Permitted
dc.date.published
2017-08-22
ethz.size
121 p.
en_US
ethz.code.ddc
3 - Social sciences::330 - Economics
en_US
ethz.code.jel
D8 - Information, Knowledge, and Uncertainty::D81 - Criteria for Decision-Making under Risk and Uncertainty
en_US
ethz.code.jel
C9 - Design of Experiments::C91 - Laboratory, Individual Behavior
en_US
ethz.identifier.diss
24259
en_US
ethz.publication.place
Zurich
en_US
ethz.publication.status
published
en_US
ethz.leitzahl
ETH Zürich::00002 - ETH Zürich::00012 - Lehre und Forschung::00007 - Departemente::02120 - Dep. Management, Technologie und Ökon. / Dep. of Management, Technology, and Ec.::03877 - Bommier, Antoine / Bommier, Antoine
en_US
ethz.leitzahl.certified
ETH Zürich::00002 - ETH Zürich::00012 - Lehre und Forschung::00007 - Departemente::02120 - Dep. Management, Technologie und Ökon. / Dep. of Management, Technology, and Ec.::03877 - Bommier, Antoine / Bommier, Antoine
en_US
ethz.relation.hasPart
20.500.11850/106510
ethz.date.deposited
2017-08-22T08:49:42Z
ethz.source
FORM
ethz.eth
yes
en_US
ethz.availability
Open access
en_US
ethz.rosetta.installDate
2017-08-22T09:05:02Z
ethz.rosetta.lastUpdated
2018-11-05T17:20:07Z
ethz.rosetta.exportRequired
true
ethz.rosetta.versionExported
true
ethz.COinS
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