An Experimental Investigation of Alternatives toExpected Utility Using Pricing Data

Experimental research on decision making under risk has until now always employed choicedata in order to evaluate the empirical performance of expected utility and the alternative nonexpectedutility theories. The present paper performs a similar analysis which relies on pricingdata instead of choice data. Since pricing data lead in many cases to a different ordering oflotteries than choices (e.g. the preference reversal phenomenon) our analysis may havefundamental different results than preceding investigations. We elicit three different types ofpricing data: willingness-to-pay, willingness-to-accept and certainty equivalents under theBecker-DeGroot-Marschak (BDM) incentive mechanism. One of our main result shows thatthe comparative performance of the single theories differs significantly under these threetypes of pricing data.