The Review of Economics and Statistics Vol. 108 No. 2 2026

Unraveling Ambiguity Aversion

Ilke Aydogan¹; Loïc Berger^2,3; Valentina Bosetti^4,3

¹ IESEG School of Management, Univ. Lille, CNRS, UMR 9221 - LEM - Lille Economie Management, F-59000 Lille, France, and iRisk Research Center on Risk and Uncertainty · ² Univ. Lille, CNRS, IESEG School of Management, UMR 9221 - LEM - Lille Économie Management, Lille F-59000, France, iRisk Research Center on Risk and Uncertainty, CMCC Foundation – Euro-Mediterranean Center on Climate Change, Lecce, Italy · ³ RFF-CMCC European Institute on Economics and the Environment, Milan, Italy · ⁴ Bocconi University, MCC Foundation – Euro-Mediterranean Center on Climate Change, Lecce, Italy

Abstract

We report the results of two experiments designed to better understand the mechanisms driving decision making under ambiguity. We elicit individual preferences over different sources of uncertainty, entailing different degrees of complexity, from subjects with different sophistication levels. We show that (1) ambiguity aversion is robust to sophistication, but the strong relationship previously reported between attitudes toward ambiguity and compound risk is not and (2) Ellsberg ambiguity attitude can be partly explained by attitudes toward complexity for less sophisticated subjects only. Overall, regardless of the subject’s sophistication level, the main driver of Ellsberg ambiguity attitude is a specific treatment of unknown probabilities.

DOI

10.1162/rest_a_01358

Volume

108

Issue

2

Pages

533-541

Language

en

Sources

openalex crossref

Cite

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