Journal of Risk and Uncertainty

, Volume 13, Issue 1, pp 19–35 | Cite as

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

  • Hein Fennema
  • Peter Wakker
Article

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

ambiguity rank dependence non-expected utility comonotonicity presentation effects 

IEL code

D81 

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Copyright information

© Kluwer Academic Publishers 1996

Authors and Affiliations

  • Hein Fennema
    • 1
  • Peter Wakker
    • 2
  1. 1.NICIUniversity of NijmegenNijmegenThe Netherlands
  2. 2.Medical Decision Making UnitUniversity of LeidenLeidenThe Netherlands

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