Abstract
Raiffa (1961) recommends that ambiguity averse participants use objective lotteries to randomly decide on which subjective lottery to bet. Such a preference for randomization is especially important in models based on Anscombe and Aumann's. In three experimental studies, I find little evidence for preference for randomization: five participants randomized out of 108 opportunities. Most participants are Anscombe-Aumann inconsistent; many pay to have a simple objective lottery, rather than an objectively probabilistically identical lottery that randomizes over subjective bets, even when they understand the probabilities. The order in which lotteries are presented matters; participants are more likely to be Anscombe-Aumann consistent when subjective uncertainty is presented first, which may indicate bounded rationality.
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