Journal of Risk and Uncertainty

, Volume 13, Issue 1, pp 19–35

A test of rank-dependent utility in the context of ambiguity

Authors

  • Hein Fennema
    • NICIUniversity of Nijmegen
  • Peter Wakker
    • Medical Decision Making UnitUniversity of Leiden
Article

DOI: 10.1007/BF00055336

Cite this article as:
Fennema, H. & Wakker, P. J Risk Uncertainty (1996) 13: 19. doi:10.1007/BF00055336

Abstract

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.

Key words

ambiguityrank dependencenon-expected utilitycomonotonicitypresentation effects

IEL code

D81
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Copyright information

© Kluwer Academic Publishers 1996