A test of rank-dependent utility in the context of ambiguity
- Cite this article as:
- Fennema, H. & Wakker, P. J Risk Uncertainty (1996) 13: 19. doi:10.1007/BF00055336
Experimental investigations of non-expected utility have primarily concentrated on decision under risk (“probability triangles”). The literature suggests, however, that ambiguity is one of the main causes for deviations from expected utility (EU). This article investigates the descriptive performance of rank-dependent utility (RDU) in the context of choice under ambiguity. We use the axiomatic difference between RDU and EU to critically test RDU against EU. Surprisingly, the RDU model does not provide any descriptive improvement over EU. Our data suggest other “framing” factors that do provide descriptive improvements over EU.