Attitudes towards Uncertainty and Randomization: An Experimental Study

Individuals exhibit a randomization preference if they prefer random mix-tures of two bets to each of the involved bets. Such preferences provide thefoundation of various models of uncertainty aversion. However, it has to ourknowledge not been empirically investigated whether uncertainty-averse deci-sion makers indeed exhibit such preferences. Here, we examine the relationshipexperimentally. We nd that uncertainty aversion is not positively associatedwith randomization preferences. Moreover, we observe choices that are notconsistent with the prevailing theories of uncertainty aversion: a non-negligiblenumber of uncertain-averse subjects seem to dislike randomization.[...]