A TEST OF RANK-DEPENDENT UTILITY IN THE CONTEXT OF AMBIGUITY

Experimental investigations of non-expected utility have primarily con centrated on decision under risk (''probability triangles''). The lite rature 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 RD U and EU to critically test RDU against EU. Surprisingly, the RDU mode l does not provide any descriptive improvement over EU. Our data sugge st other ''framing'' factors that do provide descriptive improvements over EU.