Savage vs. Anscombe-Aumann: an experimental investigation of ambiguity frameworks [Dataset]

The Savage and the Anscombe–Aumann frameworks are the two most popular
approaches used when modeling ambiguity. The former is more flexible, but the
latter is often preferred for its simplicity. We conduct an experiment where subjects
place bets on the joint outcome of an ambiguous urn and a fair coin. We document
that more than a third of our subjects make choices that are incompatible with
Anscombe–Aumann for any preferences, while the Savage framework is flexible
enough to account for subjects’ behaviors.