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  5. A Revealed Preference Test for Choquet and Max-Min Expected Utility with Ambiguity Aversion

American Economic Journal:
Microeconomics

ISSN 1945-7669 (Print) | ISSN 1945-7685 (Online)

A Revealed Preference Test for Choquet and Max-Min Expected Utility with Ambiguity Aversion

  • Thomas Demuynck
  • Clément Staner
American Economic Journal: Microeconomics (Forthcoming)

Abstract

We develop a revealed preference test for the Choquet Expected Utility model with ambiguity aversion, which does not rely on specific functional form assumptions on the utility index. It is computationally efficient if the number of states is not too large, even for a large number of observations. This is a nice feature compared to other existing revealed preference tests for decision models with ambiguity. We illustrate the usefulness of our results by implementing our test on two experimental datasets from the literature, and we compare the empirical fit of this model to the subjective expected utility model.

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