Ellsberg's urns, ambiguity, measures of uncertainty and non-additivity: some experimental evidence

Abstract

The principal objective of the experiment reported on in this paper was to ascertain what measures of uncertainty the subjects deemed to be relevant in situations of ambiguity regarding outcomes. This permitted an assessment of non-additivity of probabilities and subjects' choices were then analysed in terms of expected utility theory and the decision theories of Shackle and Ford. In addition, a comparison of the findings on the choices of gamble that the subjects made could be effected with those made in Ellsberg's pioneering inquiry.